Implied stopping rules for American basket options from Markovian projection
From MaRDI portal
Publication:5234298
DOI10.1080/14697688.2018.1481290zbMath1420.91446arXiv1705.00558OpenAlexW2610526987WikidataQ129478364 ScholiaQ129478364MaRDI QIDQ5234298
Raúl Tempone, Christian Bayer, Juho Häppölä
Publication date: 26 September 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1705.00558
Monte Carlooptimal stoppingerror boundsBlack-Scholesbasket optionMarkovian projectionHamilton-Jabcobi-Bellman
Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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