DOI

A Monte Carlo method for solving the multi-dimensional optimal stopping problem is considered. Consistent estimators for a general jump-diffusion are pointed out. It is shown that the variance of estimators is inverse proportional to the number of points in each layer of the mesh.

Original languageEnglish
Pages (from-to)121-129
Number of pages9
JournalMonte Carlo Methods and Applications
Volume23
Issue number2
DOIs
StatePublished - 1 Jun 2017

    Scopus subject areas

  • Statistics and Probability
  • Applied Mathematics

    Research areas

  • Optimal stopping, Stochastic mesh

ID: 50873067