Snell envelope with small probability criteria (Q1935508)
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scientific article; zbMATH DE number 6136949
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Snell envelope with small probability criteria |
scientific article; zbMATH DE number 6136949 |
Statements
Snell envelope with small probability criteria (English)
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18 February 2013
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Snell envelope
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American option
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Bermudan option
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stochastic mesh
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particle methods
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rare events
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0.84347296
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0.77537525
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0.76668835
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0.7553155
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0.7530863
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0.7517794
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