An irregular grid approach for pricing high-dimensional American options
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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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Cites work
- scientific article; zbMATH DE number 5305358 (Why is no real title available?)
- scientific article; zbMATH DE number 53999 (Why is no real title available?)
- scientific article; zbMATH DE number 3802751 (Why is no real title available?)
- scientific article; zbMATH DE number 822320 (Why is no real title available?)
- scientific article; zbMATH DE number 1438352 (Why is no real title available?)
- scientific article; zbMATH DE number 961607 (Why is no real title available?)
- An analysis of a least squares regression method for American option pricing
- An improved simulation method for pricing high-dimensional American derivatives.
- Assessing the least squares Monte-Carlo approach to American option valuation
- Monte Carlo methods for security pricing
- Monte Carlo valuation of American options
- Number of paths versus number of basis functions in American option pricing
- On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives
- Pricing American Options: A Duality Approach
- Pricing American stock options by linear programming
- Pricing American-style securities using simulation
- The Solution of a Quadratic Programming Problem Using Systematic Overrelaxation
- Upper Bounds for Bermudan Style Derivatives
- Variational inequalities and the pricing of American options
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
- scientific article; zbMATH DE number 5305358 (Why is no real title available?)
- Solving high-dimensional optimal stopping problems using deep learning
- LATTICE OPTION PRICING BY MULTIDIMENSIONAL INTERPOLATION
- scientific article; zbMATH DE number 2087113 (Why is no real title available?)
- Deep optimal stopping
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