An irregular grid approach for pricing high-dimensional American options (Q952083)
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scientific article; zbMATH DE number 5362088
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| English | An irregular grid approach for pricing high-dimensional American options |
scientific article; zbMATH DE number 5362088 |
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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0.9182106
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0.9043513
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0.8911051
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0.8900728
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0.8869598
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0.88330716
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0.88037795
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0.8794145
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