搜索结果: 1-1 共查到“国际经济关系 Pricing American Options”相关记录1条 . 查询时间(0.062 秒)
A method for pricing American options using semi-infinite linear programming
optimal stopping excessive functions upper bounds semiinfinite linear programming
2011/3/30
We introduce a new approach for the numerical pricing of American options. The main idea is to choose a finite number of suitable excessive functions (randomly) and to find the smallest majorant of th...