Snell envelope with small probability criteria
type: Item
instance of: scholarly article
title: Snell envelope with small probability criteria
zbMATH Open document ID: 1256.93121
author: Pierre Del Moral
author: Peng Hu
author: Nadia Oudjane
published in: Applied Mathematics and Optimization
publication date: 2013-02-18T00:00:00Z
full work available at URL: RR-7360.pdf
Mathematics Subject Classification ID: 93E25
Mathematics Subject Classification ID: 93E03
Mathematics Subject Classification ID: 91E10
zbMATH DE Number: 6136949
zbMATH Keywords: Snell envelope
zbMATH Keywords: American option
zbMATH Keywords: Bermudan option
zbMATH Keywords: stochastic mesh
zbMATH Keywords: particle methods
zbMATH Keywords: rare events
MaRDI profile type: Publication
OpenAlex ID: W2040074112
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DOI: 10.1007/S00245-012-9173-1
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description: scientific article; zbMATH DE number 6136949