scientific article; zbMATH DE number 1069621

zbMATH Open0898.90028MaRDI QIDQ4356583FDOQ4356583

Authors: Farid AitSahlia, Peter Carr 

Publication date: 1 November 1998

Title of this publication is not available (Why is that?)

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zbMATH Keywords

American optionapproximation schemescomparative experimentsbenchmark comparisons

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Cited In (16)

• On numerical methods and the valuation of American options
• The Parareal Algorithm for American Options
• American Option Pricing Using Simulation and Regression: Numerical Convergence Results
• An improved method for pricing and hedging long dated American options
• Valuing American options by simulation: a BSDEs approach
• A numerical analysis of American options with regime switching
• The parareal algorithm for American options
• Analytical approximations for the critical stock prices of American options: a performance comparison
• A METHOD FOR PRICING AMERICAN OPTIONS USING SEMI‐INFINITE LINEAR PROGRAMMING
• An improved Barone-Adesi Whaley formula for turbulent markets
• Solving high-dimensional optimal stopping problems using deep learning
• Using spectral element method to solve variational inequalities with applications in finance
• Numerical Study of Splitting Methods for American Option Valuation
• Title not available (Why is that?)
• A moving boundary approach to American option pricing
• Number of paths versus number of basis functions in American option pricing

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