Optimal Exercise Policies and Simulation-Based Valuation for American-Asian Options

DOI10.1287/OPRE.51.1.52.12798MaRDI QIDQ3635170zbMATH OpenOpenAlexFDO

Authors Rongwen Wu, Michael C. Fu

Publication date 5 July 2009

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/62b2d7f31d3b0bfe1da690e9c24f54b91723a65b

Mathematics Subject Classification ID

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• A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction
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