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scientific article; zbMATH DE number 1239754 - MaRDI portal

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zbMath0912.90028MaRDI QIDQ4225536

Loretta Mastroeni

Publication date: 9 March 1999

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

zbMATH Keywords

stochastic volatility variational formulation complementarity system Amerian option pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Markov and semi-Markov decision processes (90C40)

Related Items (1)

American Option Valuation with Particle Filters

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