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"An improved simulation method for pricing high-dimensional American ..."

Phelim P. Boyle, Adam W. Kolkiewicz, Ken Seng Tan (2003)

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DOI: 10.1016/S0378-4754(02)00248-3

access: closed

type: Journal Article

metadata version: 2020-03-04

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Phelim P. Boyle, Adam W. Kolkiewicz, Ken Seng Tan:
An improved simulation method for pricing high-dimensional American derivatives. Math. Comput. Simul. 62(3-6): 315-322 (2003)

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