7 search results - page 2 / 2 » Pricing American options using a space-time adaptive finite ... |
98
Voted
MOR
2007
15 years 18 days 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...
126
Voted
AOR
2010
14 years 10 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...