An irregular grid approach for pricing high-dimensional American options (Q952083): Difference between revisions
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Revision as of 18:45, 30 January 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An irregular grid approach for pricing high-dimensional American options |
scientific article |
Statements
An irregular grid approach for pricing high-dimensional American options (English)
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6 November 2008
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American options
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high-dimensional problems
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free boundary problems
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optimal stopping
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variational inequalities
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numerical methods
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unstructured mesh
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Markov chain approximation
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