A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction

A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction

10.1016/j.ejor.2013.05.035

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Bibliographic Details
Main Authors: Jin, X., Li, X., Tan, H.H., Wu, Z.
Other Authors: MATHEMATICS
Format: Article
Published: 2014
Subjects:
American-style option
Dimension reduction
High dimensional
Stochastic dynamic programming
Online Access:http://scholarbank.nus.edu.sg/handle/10635/102623
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Institution: National University of Singapore
Description
Summary:10.1016/j.ejor.2013.05.035

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