A memory reduction method in pricing American options

DOI10.1080/00949650310001597876zbMath1106.91030OpenAlexW1981488034MaRDI QIDQ4673970

Yong Chen, Kit Ming Yeung, Raymond Honfu Chan

Publication date: 9 May 2005

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949650310001597876

zbMATH Keywords

Monte Carlo methodRandom number generatorOption pricing

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (2)

Memory-Reduction Method for Pricing American-Style Options under Exponential Lévy Processes ⋮ Pricing arithmetic Asian option under a two-factor stochastic volatility model with jumps

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