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Efficiency improvements for pricing American options with a stochastic mesh.

Athanassios N. AvramidisPaul Hyden
Published in: WSC (1999)
Keyphrases
  • option pricing
  • united states
  • double exponential
  • d mesh
  • data sets
  • monte carlo
  • black scholes model
  • genetic algorithm
  • high efficiency
  • stochastic model
  • stochastic optimization