scientific article

DOI10.3785/J.ISSN.1008-9497.2017.05.008zbMath1399.91137MaRDI QIDQ3175862

Rongfei Lin, Jinbiao Chen

Publication date: 18 July 2018

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Monte Carlo methodAmerican optionspricingvariance reduction techniques

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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