scientific article; zbMATH DE number 1969587

zbMATH Open1036.91018MaRDI QIDQ4422855

Roland Mallier, Ghada Alobaidi

Publication date: 25 August 2003

Full work available at URL: https://eudml.org/doc/11557

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

zbMATH Keywords

Monte Carlo methodAmerican options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05)

Related Items (3)

Using forward Monte-Carlo simulation for the valuation of American barrier options ⋮ Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity ⋮ Foresight Bias and Suboptimality Correction in Monte—Carlo Pricing of Options with Early Exercise

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