Numerical methods for American option pricing

DOI10.3969/J.ISSN.1006-6330.2013.01.010MaRDI QIDQ5398775zbMATH OpenFDO

Authors Yijuan Liang, Chenglong Xu

Publication date 28 February 2014

Full work available at URL https://doi.org/10.3969/J.ISSN.1006-6330.2013.01.010

zbMATH Keywords

American optionbinomial treeleast squaresMonte Carlo methodvariational inequality

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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