scientific article; zbMATH DE number 1069621

zbMATH Open0898.90028MaRDI QIDQ4356583FDOQ4356583

Authors Farid AitSahlia, Peter Carr 

Publication date 1 November 1998

zbMATH Keywords

American optionapproximation schemescomparative experimentsbenchmark comparisons

Mathematics Subject Classification ID

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

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• Numerical Study of Splitting Methods for American Option Valuation
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• Analytical approximations for the critical stock prices of American options: a performance comparison
• The parareal algorithm for American options
• American Option Pricing Using Simulation and Regression: Numerical Convergence Results
• An improved Barone-Adesi Whaley formula for turbulent markets
• Number of paths versus number of basis functions in American option pricing
• An improved method for pricing and hedging long dated American options
• A METHOD FOR PRICING AMERICAN OPTIONS USING SEMI‐INFINITE LINEAR PROGRAMMING
• Using spectral element method to solve variational inequalities with applications in finance
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• Solving high-dimensional optimal stopping problems using deep learning

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