A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction (Q2356102)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction |
scientific article |
Statements
A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction (English)
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28 July 2015
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high dimensional American-style option
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dimension reduction
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stochastic dynamic programming
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