QUASIRANDOM TREE METHOD FOR PRICING AMERICAN STYLE DERIVATIVES(Special Issue on Theory, Methodology and Applications in Financial Engneering)
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Publication:4803742
DOI10.15807/JORSJ.45.426zbMath1080.91039OpenAlexW575211882MaRDI QIDQ4803742
Masanori Fushimi, Hozumi Morohosi
Publication date: 2002
Published in: Journal of the Operations Research Society of Japan (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.15807/jorsj.45.426
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Combinatorial probability (60C05) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
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