"Dual control Monte-Carlo method for tight bounds of value function under ..."

Jingtang Ma, Wenyuan Li, Harry Zheng (2020)

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DOI: 10.1016/J.EJOR.2019.07.041

access: closed

type: Journal Article

metadata version: 2022-10-02

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Jingtang Ma, Wenyuan Li, Harry Zheng:
Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model. Eur. J. Oper. Res. 280(2): 428-440 (2020)

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