An improved simulation method for pricing high-dimensional American derivatives.
type: Item
instance of: scholarly article
title: An improved simulation method for pricing high-dimensional American derivatives.
zbMATH Open document ID: 1036.91020
DOI: 10.1016/S0378-4754(02)00248-3
author: Phelim Boyle
author: Adam W. Kolkiewicz
author: Ken Seng Tan
published in: Mathematics and Computers in Simulation
publication date: 2003-05-19T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G40
zbMATH DE Number: 1912335
zbMATH Keywords: American options
zbMATH Keywords: Monte Carlo
zbMATH Keywords: quasi-Monte Carlo
zbMATH Keywords: dynamic programming
MaRDI profile type: Publication
cites work: Pricing Bermudan options using low-discrepancy mesh methods
cites work: Q4549498
cites work: Pricing American-style securities using simulation
cites work: Option pricing: A simplified approach
cites work: Q4391441
cites work: Q5289008
full work available at URL: s0378-4754(02)00248-3
OpenAlex ID: W2010451189
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description: scientific article; zbMATH DE number 1912335