"Efficient parallel Monte-Carlo techniques for pricing American options ..."

Iñigo Arregui et al. (2024)

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DOI: 10.1080/00207160.2023.2172322

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type: Journal Article

metadata version: 2025-05-09

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Iñigo Arregui, Álvaro Leitao, Beatriz Salvador, Carlos Vázquez:
Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk. Int. J. Comput. Math. 101(8): 821-841 (2024)

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