Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods
Date
2012Link to item file
https://hal.archives-ouvertes.fr/hal-00486825Dewey
Probabilités et mathématiques appliquéesSujet
American options; Monte-carlo methodsJEL code
C15; G12Book title
Numerical Methods in FinanceAuthor
Oudjane, NadiaPublisher
SpringerPublisher city
Berlin HeidelbergYear
2012ISBN
978-3-642-25745-2Book URL
10.1007/978-3-642-25746-9Collections
Metadata
Show full item recordAuthor
Bouchard, Bruno
Warin, Xavier