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A dimension-reduction algorithm for the valuation of surrender options in EIA contracts with stochastic interest rates.

Chih-Kai Chang
Published in: Math. Comput. Simul. (2014)
Keyphrases
  • database
  • video sequences
  • stochastic model
  • stochastic optimization
  • real option
  • multiple dimensions
  • stochastic nature
  • monte carlo
  • markov processes