The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks (Q668683)
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scientific article; zbMATH DE number 7038209
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks |
scientific article; zbMATH DE number 7038209 |
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The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks (English)
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19 March 2019
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Monte Carlo methods for American options
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pricing American options
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Bermudan options
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Greeks for American options
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stochastic grid bundling method
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