Multilevel dual approach for pricing American style derivates
Denis Belomestny; John Schoenmakers; Fabian Dickmann
| Year of publication: |
2013
|
|---|---|
| Authors: | Belomestny, Denis ; Schoenmakers, John ; Dickmann, Fabian |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 17.2013, 4, p. 717-742
|
| Subject: | optimal stopping | dual approach | multilevel Monte Carlo | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Derivat | Derivative | Suchtheorie | Search theory |
| Extent: | graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Addendum enthalten in: Bd. 19.2015, 3 (Jul.), S. 681-684 |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010190883