AMERICAN OPTION PRICING WITH REGRESSION: CONVERGENCE ANALYSIS (Q5210915)
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scientific article; zbMATH DE number 7152540
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | AMERICAN OPTION PRICING WITH REGRESSION: CONVERGENCE ANALYSIS |
scientific article; zbMATH DE number 7152540 |
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AMERICAN OPTION PRICING WITH REGRESSION: CONVERGENCE ANALYSIS (English)
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16 January 2020
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American option pricing
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convergence rate
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Monte Carlo methods
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optimal stopping
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control variates
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