Pricing high-dimensional Bermudan options using the stochastic grid method (Q4903543)
From MaRDI portal
scientific article; zbMATH DE number 6127881
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing high-dimensional Bermudan options using the stochastic grid method |
scientific article; zbMATH DE number 6127881 |
Statements
Pricing high-dimensional Bermudan options using the stochastic grid method (English)
0 references
22 January 2013
0 references
Amrican options
0 references
high dimensional
0 references
Monte Carlo
0 references
Gram Charlier
0 references
stochastic grid method
0 references
regression
0 references
stochastic mesh method
0 references
least squares method (LSM)
0 references
Bermudan options
0 references
0 references
0 references
