Monte Carlo methods for the valuation of multiple exercise options

Metadata Label Value
Author(s): Meinshausen, Nicolai, Hambly, B.M.
Publisher: Seminar für Statistik, Eidgenössische Technische Hochschule (ETH)
Citation:

Meinshausen, Nicolai and Hambly, B.M.. Monte Carlo methods for the valuation of multiple exercise options. Seminar für Statistik, Eidgenössische Technische Hochschule (ETH) (2002). http://dx.doi.org/10.3929/ethz-a-004448704

Document Type: Reports  
Documents: Text (282.75KB)
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Detailed Information

Metadata Description
Title Monte Carlo methods for the valuation of multiple exercise options
Author(s) Meinshausen, Nicolai
Hambly, B.M.
Publication Place Zürich
Publisher Seminar für Statistik, Eidgenössische Technische Hochschule (ETH)
Publication Date 2002
Series Research report / Seminar für Statistik, Eidgenössische Technische Hochschule (ETH) No. 111
Language English
DOI http://dx.doi.org/10.3929/ethz-a-004448704
Subject(s) Mathematical Statistics
Keyword(s) OPTIONS
STOCK EXCHANGE
OPTION PRICING
MARKOV DECISION PROCESSES
Organisational Unit Seminar for Statistics
Online Publication Date 2002
Description File Name MIME Type Size
Text   eth-26036-01.pdf application/pdf 282.75KB
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E-Collection record created: Sat, 19 Apr 2008, 00:47:22 CET