Efficiency improvements for pricing American options with a stochastic mesh

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Bibliographic Details
Main Authors: Avramidis, Athanassios N., Hyden, Paul
Format: Conference Proceeding
Language:English
Subjects:
Applied computing > Enterprise computing
Computing methodologies > Modeling and simulation
Computing methodologies > Modeling and simulation > Simulation types and techniques
Mathematics of computing > Probability and statistics > Probabilistic reasoning algorithms > Markov-chain Monte Carlo methods
Mathematics of computing > Probability and statistics > Probabilistic reasoning algorithms > Sequential Monte Carlo methods
Mathematics of computing > Probability and statistics > Stochastic processes
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Online Access:Get full text
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DOI:10.1145/324138.324240