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Pricing American options by exercise rate optimization - MaRDI portal

Pricing American options by exercise rate optimization (Q4957236)

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scientific article; zbMATH DE number 7390937
Language Label Description Also known as
English
Pricing American options by exercise rate optimization
scientific article; zbMATH DE number 7390937

    Statements

    title
    Pricing American options by exercise rate optimization (English)
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    author
    Christian Bayer
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    Raúl Tempone
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    Sören Wolfers
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    publication date
    3 September 2021
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    zbMATH Keywords
    American option
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    Monte Carlo method
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    Black-Scholes model
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    Heston model
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    Bergomi model
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    cites work
    Q3286740
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    On randomized stopping
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    Identifiers

    Mathematics Subject Classification ID
    91G60
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    65C05
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    91G20
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    60G40
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    zbMATH DE Number
    7390937
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    OpenAlex ID
    W3041812180
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    arXiv ID
    1809.07300
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