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

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