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A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options - MaRDI portal

A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options (Q2467599)

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A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options
scientific article

    Statements

    title
    A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options (English)
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    author
    Daniel Egloff
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    Michael Kohler
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    Nebojsa Todorovic
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    publication date
    28 January 2008
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    Identifiers

    Mathematics Subject Classification ID
    91G60
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    60G40
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    93E20
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    65C05
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    93E24
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    62G05
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    91G20
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    zbMATH DE Number
    5230202
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    OpenAlex ID
    W2019703483
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    arXiv ID
    0710.3640
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