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Simple improvement method for upper bound of American option - MaRDI portal

Simple improvement method for upper bound of American option (Q3108374)

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Simple improvement method for upper bound of American option
scientific article

    Statements

    title
    Simple improvement method for upper bound of American option (English)
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    author
    Mika Fujii
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    Koichi Matsumoto
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    Kengo Tsubota
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    published in
    Stochastics
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    publication date
    3 January 2012
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    zbMATH Keywords
    American option
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    Monte Carlo simulation
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    optimal stopping
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    60H35
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    65C20
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    zbMATH DE Number
    5994071
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    OpenAlex ID
    W2026340970
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