Sample-path solution of stochastic variational inequalities, with applications to option pricing

Winter Simulation Conference Proceedings

Volumn , Issue , 1996, Pages 337-344

  Gurkan, G ^a   Ozge, A Y ^a   Robinson, S M ^a  

^a UNIVERSITY OF WISCONSIN MADISON   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

ALGORITHMS; COSTS; MATHEMATICAL MODELS; NONLINEAR EQUATIONS; RANDOM PROCESSES;

SAMPLE-PATH SOLUTION; STOCHASTIC VARIATIONAL INEQUALITIES;

COMPUTER SIMULATION;

EID: 0030393695     PISSN: 02750708     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1145/256562.256646     Document Type: Conference Paper

References (32)