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scientific article; zbMATH DE number 2232710 - MaRDI portal

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Publication:5708058

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zbMath1123.91326MaRDI QIDQ5708058

Kevin Burrage, Tianhai Tian

Publication date: 25 November 2005

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Monte Carlo methods American options Euler method variance reduction trapezoidal method error sources

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

American option pricing under stochastic volatility: an efficient numerical approach ⋮ On improving the least squares Monte Carlo option valuation method

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