Efficiency improvements for pricing American options with a stochastic mesh

Winter Simulation Conference Proceedings

Volumn 1, Issue , 1999, Pages 344-350

  Avramidis, Athanassios N ^a   Hyden, Paul ^a  

^a Department of Obstetrics Gynecology   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

ECONOMICS; FINANCE; MONTE CARLO METHODS; PARAMETER ESTIMATION; RANDOM PROCESSES; RECURSIVE FUNCTIONS;

AMERICAN OPTIONS; EUROPEAN OPTIONS; SMOOTH OPTION PAYOFF FUNCTIONS; STOCHASTIC MESH METHOD;

COMPUTER SIMULATION;

EID: 0033352189     PISSN: 02750708     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1145/324138.324240     Document Type: Conference Paper

References (5)