Valuation of American Options via Basis Functions

DOI10.1109/TAC.2004.824466MaRDI QIDQ5273709zbMATH OpenFDO

Authors Tze Leung Lai, Samuel Po Shing Wong

Publication date 12 July 2017

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

Full work available at URL https://doi.org/10.1109/TAC.2004.824466

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Numerical mathematical programming methods (65K05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Cited in

(8)

• Option hedging theory under transaction costs
• Number of paths versus number of basis functions in American option pricing
• Valuation of American options by the gradient projection method
• Option valuation and hedging with basis risk
• Approximations for the values of american options
• Generalized trapezoidal formulas for valuing American options
• Valuation of American partial barrier options
• Approximate policy optimization and adaptive control in regression models

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