VALUATION OF CONTINGENT GUARANTEES USING LEAST-SQUARES MONTE CARLO
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Publication:4629470
DOI10.1017/asb.2018.43zbMath1419.91348OpenAlexW2902234567WikidataQ128221353 ScholiaQ128221353MaRDI QIDQ4629470
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Publication date: 27 March 2019
Published in: ASTIN Bulletin (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/asb.2018.43
Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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