Dual Pricing of American Options by Wiener Chaos Expansion

DOI10.1137/16M1102161zbMath1397.62283arXiv1604.03317WikidataQ129972412 ScholiaQ129972412MaRDI QIDQ4579832

Jérôme Lelong

Publication date: 10 August 2018

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1604.03317

zbMATH Keywords

stochastic optimizationdualityhigh performance computingAmerican optionWiener chaos expansionsample average approximationSnell envelope

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Parallel numerical computation (65Y05)

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Uses Software

• PNL

Cites Work

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