DocumentCode
2480248
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
fYear
1996
fDate
1996
Firstpage
337
Lastpage
344
Keywords
Approximation methods; Computational modeling; Convergence; Industrial engineering; Nonlinear equations; Optimization methods; Pricing; Proposals; Random variables; Stochastic processes;
fLanguage
English
Publisher
ieee
Conference_Titel
Simulation Conference, 1996. Proceedings. Winter
Print_ISBN
0-7803-3383-7
Type
conf
DOI
10.1109/WSC.1996.873298
Filename
873298
Link To Document