Application of kernel-based stochastic gradient algorithms to option pricing

Monte Carlo Methods and Applications

Volumn 14, Issue 2, 2008, Pages 99-127

  Barty, Kengy ^a   Girardeau, Pierre ^a,b   Strugarek, Cyrille ^a,c   Roy, Jean Sébastien ^c  

^a EDF R AND D   (France)

^b UNIVERSITÉ PARIS EST   (France)

^c NONE

Author keywords

American option pricing; Kernel approximation; Monte Carlo methods; Stochastic algorithms

Indexed keywords

EID: 75149180669     PISSN: 09299629     EISSN: 15693961     Source Type: Journal    
DOI: 10.1515/MCMA.2008.006     Document Type: Article

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