Open AccessA FAST MONTE CARLO ALGORITHM FOR PRICING AMERICAN OPTIONS
Author(s) -
Andrés D. Fundia
Publication year - 2002
Language(s) - English
Resource type - Journals
ISSN - 1665-5346
DOI - 10.21919/remef.v1i3.137
Subject(s) - monte carlo method , optimal stopping , scheme (mathematics) , exponential function , computer science , mathematical optimization , monte carlo methods for option pricing , algorithm , class (philosophy) , monte carlo algorithm , exotic option , valuation of options , mathematics , econometrics , artificial intelligence , statistics , mathematical analysis