Pricing multi-asset American-style options by memory reduction Monte Carlo methods
type: Item
instance of: scholarly article
title: Pricing multi-asset American-style options by memory reduction Monte Carlo methods
zbMATH Open document ID: 1098.91047
author: Chi-Yan Wong
author: Raymond H. Chan
author: Kit Ming Yeung
published in: Applied Mathematics and Computation
publication date: 2006-10-31T00:00:00Z
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 5069129
zbMATH Keywords: memory reduction method
zbMATH Keywords: Monte Carlo method
zbMATH Keywords: multi-asset
zbMATH Keywords: American-style options
zbMATH Keywords: random number
describes a project that uses: Mathematica
MaRDI profile type: Publication
full work available at URL: j.amc.2005.11.108
OpenAlex ID: W2101647530
cites work: Monte Carlo methods for security pricing
cites work: Pricing American-style securities using simulation
cites work: Q5689624
cites work: Q4349551
cites work: MATLAB Primer.
cites work: Q4244407
DOI: 10.1016/J.AMC.2005.11.108
description: scientific article; zbMATH DE number 5069129