Valuation of American Options via Basis Functions

DOI10.1109/TAC.2004.824466zbMath1366.91161MaRDI QIDQ5273709

Tze Leung Lai, Samuel Po-Shing Wong

Publication date: 12 July 2017

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65K05: Numerical mathematical programming methods

60G40: Stopping times; optimal stopping problems; gambling theory

91G20: Derivative securities (option pricing, hedging, etc.)

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