A Monte Carlo approach to American options pricing including counterparty risk

  1. Arregui, I.
  2. Salvador, B.
  3. Vázquez, C.
Journal:
International Journal of Computer Mathematics

ISSN: 1029-0265,  0020-7160

Year of publication: 2019

Volume: 96

Issue: 11

Pages: 2157-2176

Type: Article

DOI: 10.1080/00207160.2018.1486399 GOOGLE SCHOLAR
Data source: Scopus