"Valuing American options by simulation: A BSDEs approach."

Tomasz Klimsiak, Andrzej Rozkosz, Bartosz Ziemkiewicz (2016)

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DOI: 10.1016/J.MATCOM.2015.11.009

access: closed

type: Journal Article

metadata version: 2022-03-16

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Tomasz Klimsiak, Andrzej Rozkosz, Bartosz Ziemkiewicz:
Valuing American options by simulation: A BSDEs approach. Math. Comput. Simul. 123: 1-18 (2016)

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