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"Pricing multi-asset American-style options by memory reduction Monte Carlo ..."

Raymond H. Chan, Chi-Yan Wong, Kit-Ming Yeung (2006)

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DOI: 10.1016/J.AMC.2005.11.108

access: closed

type: Journal Article

metadata version: 2020-02-21

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Raymond H. Chan, Chi-Yan Wong, Kit-Ming Yeung:
Pricing multi-asset American-style options by memory reduction Monte Carlo methods. Appl. Math. Comput. 179(2): 535-544 (2006)

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