An irregular grid approach for pricing high-dimensional American options
DOI10.1016/J.CAM.2007.10.045zbMATH Open1153.91465OpenAlexW2100654802MaRDI QIDQ952083FDOQ952083
Authors: S. J. Berridge, Johannes M. Schumacher 
Publication date: 6 November 2008
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2007.10.045
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high-dimensional problemsfree boundary problemsnumerical methodsoptimal stoppingvariational inequalitiesAmerican optionsunstructured meshMarkov chain approximation
Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Free boundary problems for PDEs (35R35) Stopping times; optimal stopping problems; gambling theory (60G40) Algorithms for approximation of functions (65D15) Microeconomic theory (price theory and economic markets) (91B24)
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Cited In (12)
- A two-grid penalty method for American options
- Pricing European and American options using a very fast and accurate scheme: the meshless local Petrov-Galerkin method
- Local weak form meshless techniques based on the radial point interpolation (RPI) method and local boundary integral equation (LBIE) method to evaluate European and American options
- A two-factor structural model for valuing corporate securities
- Pricing European and American options by radial basis point interpolation
- Pricing high-dimensional Bermudan options using the stochastic grid method
- A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction
- Title not available (Why is that?)
- Solving high-dimensional optimal stopping problems using deep learning
- LATTICE OPTION PRICING BY MULTIDIMENSIONAL INTERPOLATION
- Title not available (Why is that?)
- Deep optimal stopping
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