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Lower bounds for American option prices with control variates - MaRDI portal

Lower bounds for American option prices with control variates

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Publication:6556178

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DOI10.1016/j.orl.2023.09.008MaRDI QIDQ6556178

François-Michel Boire, R. Mark Reesor, Lars Stentoft

Publication date: 17 June 2024

Published in: Operations Research Letters (Search for Journal in Brave)

zbMATH Keywords

Monte Carlo simulation American options bias correction optimally sampled control variates

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

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