Primal and Dual Pricing of Multiple Exercise Options in Continuous Time (Q5388676)
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scientific article; zbMATH DE number 6025774
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Primal and Dual Pricing of Multiple Exercise Options in Continuous Time |
scientific article; zbMATH DE number 6025774 |
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Primal and Dual Pricing of Multiple Exercise Options in Continuous Time (English)
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19 April 2012
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Doob-Meyer decomposition
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duality
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option pricing
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Monte Carlo methods
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multiple exercise options
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swing options
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