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1 Ergebnisse
1
SEQUENTIAL MONTE CARLO PRICING OF AMERICAN-STYLE OPTIONS UN..:
Rambharat, Bhojnarine R.
;
Brockwell, Anthony E.
The Annals of Applied Statistics. 4 (2010) 1 - p. 222-265 , 2010
Link:
https://www.jstor.org/stable/27801586
RT Journal T1
SEQUENTIAL MONTE CARLO PRICING OF AMERICAN-STYLE OPTIONS UNDER STOCHASTIC VOLATILITY MODELS
UL https://suche.suub.uni-bremen.de/peid=jstor-27801586&Exemplar=1&LAN=DE A1 Rambharat, Bhojnarine R. A1 Brockwell, Anthony E. PB Institute of Mathematical Statistics YR 2010 SN 1932-6157 SN 1941-7330 K1 Business K1 Business operations K1 Commerce K1 Pricing K1 Price volatility K1 Applied sciences K1 Computer science K1 Algorithms K1 Mathematics K1 Pure mathematics K1 Probability theory K1 Stochastic models K1 Law K1 Civil law K1 Contract law K1 Contracts K1 Financial contracts K1 Derivative contracts K1 Options contracts K1 American option K1 Prices K1 Market prices K1 Mathematical procedures K1 Approximation K1 Computer programming K1 Mathematical programming K1 Dynamic programming K1 Research methods K1 Modeling K1 Applied mathematics K1 Statistics K1 Applied statistics K1 Statistical models K1 Parametric models K1 Put options JF The Annals of Applied Statistics VO 4 IS 1 SP 222 OP 265 LK http://dx.doi.org/https://www.jstor.org/stable/27801586 DO https://www.jstor.org/stable/27801586 SF ELIB - SuUB Bremen
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