An irregular grid approach for pricing high-dimensional American options
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Publication:952083
DOI10.1016/j.cam.2007.10.045zbMath1153.91465OpenAlexW2100654802MaRDI QIDQ952083
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
variational inequalitiesoptimal stoppingnumerical methodsAmerican optionsunstructured meshfree boundary problemshigh-dimensional problemsMarkov chain approximation
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Related Items (7)
Pricing European and American options using a very fast and accurate scheme: the meshless local Petrov-Galerkin method ⋮ Pricing European and American options by radial basis point interpolation ⋮ 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 ⋮ LATTICE OPTION PRICING BY MULTIDIMENSIONAL INTERPOLATION ⋮ Pricing high-dimensional Bermudan options using the stochastic grid method ⋮ Deep optimal stopping ⋮ Solving high-dimensional optimal stopping problems using deep learning
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