Analysis of the SSAP method for the numerical valuation of high-dimensional multivariate American securities

DOI10.1007/PL00009284MaRDI QIDQ1818276zbMATH OpenFDO

Authors Yanyan Li

Publication date 1 February 2000

Published in Algorithmica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/PL00009284

zbMATH Keywords

American optionsAmerican pricingfinite-differenceItô processMonte Carlo simulationoptimal control

Mathematics Subject Classification ID

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