7 search results - page 2 / 2 » Pricing American options using a space-time adaptive finite ... |
MOR
2007
13 years 4 months ago
2007
Adaptive Monte Carlo methods are simulation efficiency improvement techniques designed to adaptively tune simulation estimators. Most of the work on adaptive Monte Carlo methods h...
AOR
2010
13 years 2 months ago
2010
We study the problem of computing general static-arbitrage bounds for European basket options; that is, computing bounds on the price of a basket option, given the only assumption...