Pathwise dynamic programming
Christian Bender, Christian Gärtner, Nikolaus Schweizer
| Year of publication: |
August 2018
|
|---|---|
| Authors: | Bender, Christian ; Gärtner, Christian ; Schweizer, Nikolaus |
| Published in: |
Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 43.2018, 3, p. 965-995
|
| Subject: | stochastic dynamic programming | Monte Carlo | confidence bounds | option pricing | Dynamische Optimierung | Dynamic programming | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/moor.2017.0891 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011914390