Number of paths versus number of basis functions in American option pricing

DOI10.1214/105051604000000846zbMath1062.60041arXivmath/0503556OpenAlexW3125580534MaRDI QIDQ1769425

Xianqiang Yang

Publication date: 21 March 2005

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0503556

zbMATH Keywords

dynamic programmingorthogonal polynomialsoptimal stoppingMonte Carlo methodsfinance

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Signal detection and filtering (aspects of stochastic processes) (60G35) Stopping times; optimal stopping problems; gambling theory (60G40)

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