Pricing American options by simulation using a stochastic mesh with optimized weights (Q2724691)
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scientific article; zbMATH DE number 1618133
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing American options by simulation using a stochastic mesh with optimized weights |
scientific article; zbMATH DE number 1618133 |
Statements
13 July 2003
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American options
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stochastic mesh
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transition density
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maximum entropy
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least squares
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Pricing American options by simulation using a stochastic mesh with optimized weights (English)
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