The forward-path method for pricing multi-asset American-style options under general diffusion processes (Q2252387)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The forward-path method for pricing multi-asset American-style options under general diffusion processes |
scientific article |
Statements
The forward-path method for pricing multi-asset American-style options under general diffusion processes (English)
0 references
17 July 2014
0 references
Monte Carlo
0 references
memory reduction
0 references
American-style options
0 references
Taylor implicit scheme
0 references
0 references
