Enhanced policy iteration for American options via scenario selection
Work
Year: 2008
Type: article
Source: Quantitative Finance
Institutions Technische Universität Braunschweig, Institute of Computational Mathematics and Mathematical Geophysics, Weierstrass Institute for Applied Analysis and Stochastics
Cites: 17
Cited by: 24
Related to: 10
FWCI: 2.863
Citation percentile (by year/subfield): 85.99
Subfield: Finance
Domain: Social Sciences
Open Access status: closed