Research output: Contribution to journal › Article › peer-review
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 language | English |
|---|---|
| Pages (from-to) | 121-129 |
| Number of pages | 9 |
| Journal | Monte Carlo Methods and Applications |
| Volume | 23 |
| Issue number | 2 |
| DOIs | |
| State | Published - 1 Jun 2017 |
ID: 50873067