OpenAlex | A NEW MONTE CARLO METHOD FOR AMERICAN OPTIONS

A New Monte Carlo Method For American Options

Work

Year: 2004

Type: article

Source: International Journal of Theoretical and Applied Finance

Authors Grigori N. Milstein, Oliver Reiß, John Schoenmakers

Institution Weierstrass Institute for Applied Analysis and Stochastics

Cites: 12

Cited by: 8

Related to: 10

FWCI: 1.218

Citation percentile (by year/subfield): 65.13

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed