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