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 |
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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