Title :
Sample-path solution of stochastic variational inequalities, with applications to option pricing
Author :
Gul Gurkan ; Ozge, A. Yonca ; Robinson, Stephen M.
Author_Institution :
University of Wisconsin-Madison
Keywords :
Approximation methods; Computational modeling; Convergence; Industrial engineering; Nonlinear equations; Optimization methods; Pricing; Proposals; Random variables; Stochastic processes;
Conference_Titel :
Simulation Conference, 1996. Proceedings. Winter
Print_ISBN :
0-7803-3383-7
DOI :
10.1109/WSC.1996.873298
