Forest of stochastic meshes: a new method for valuing high-dimensional swing options (Q631202)
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scientific article; zbMATH DE number 5869199
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Forest of stochastic meshes: a new method for valuing high-dimensional swing options |
scientific article; zbMATH DE number 5869199 |
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Forest of stochastic meshes: a new method for valuing high-dimensional swing options (English)
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22 March 2011
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swing options
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Monte Carlo simulation
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dynamic programming
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stochastic mesh
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multiple state variables
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forest of trees
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