Pricing of path-dependent American options by Monte Carlo simulation
type: Item
instance of: scholarly article
title: Pricing of path-dependent American options by Monte Carlo simulation
zbMATH Open document ID: 1163.91396
author: Hajime Fujiwara
author: Masaaki Kijima
publication date: 2009-07-01T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 60H07
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 65C05
zbMATH DE Number: 5573615
zbMATH Keywords: Malliavin calculus
zbMATH Keywords: dynamic programming
zbMATH Keywords: American option
zbMATH Keywords: floating-rate bond
MaRDI profile type: Publication
full work available at URL: j.jedc.2006.12.003
OpenAlex ID: W2032996335
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DOI: 10.1016/J.JEDC.2006.12.003
published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 5573615