A SURVEY ON AMERICAN OPTIONS: OLD APPROACHES AND NEW TRENDS
From MaRDI portal
Publication:5199398
DOI10.4134/BKMS.2011.48.4.791zbMath1219.91135OpenAlexW2056182354MaRDI QIDQ5199398
Kijung Lee, Hyeng Keun Koo, Seryoong Ahn, Hyeong-Ohk Bae
Publication date: 16 August 2011
Published in: Bulletin of the Korean Mathematical Society (Search for Journal in Brave)
Full work available at URL: http://www.mathnet.or.kr/mathnet/kms_content.php?no=406364
Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35) Singular nonlinear integral equations (45G05) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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