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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) |
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 |
| Description | URL |
|---|---|
| NEBIS Link | http://opac.nebis.ch/F/?local_base=NEBIS&func=find-b&find_code=SYS&request=004448704 |
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E-Collection record created: Sat, 19 Apr 2008, 00:47:22 CET