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

id	sg-nus-scholar.10635-102623
record_format	dspace
spelling	sg-nus-scholar.10635-1026232023-10-30T07:42:29Z A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction Jin, X. Li, X. Tan, H.H. Wu, Z. MATHEMATICS American-style option Dimension reduction High dimensional Stochastic dynamic programming 10.1016/j.ejor.2013.05.035 European Journal of Operational Research 231 2 362-370 EJORD 2014-10-28T02:27:48Z 2014-10-28T02:27:48Z 2013-12-01 Article Jin, X., Li, X., Tan, H.H., Wu, Z. (2013-12-01). A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction. European Journal of Operational Research 231 (2) : 362-370. ScholarBank@NUS Repository. https://doi.org/10.1016/j.ejor.2013.05.035 03772217 http://scholarbank.nus.edu.sg/handle/10635/102623 000322851300012 Scopus
institution	National University of Singapore
building	NUS Library
continent	Asia
country	Singapore Singapore
content_provider	NUS Library
collection	ScholarBank@NUS
topic	American-style option Dimension reduction High dimensional Stochastic dynamic programming
spellingShingle	American-style option Dimension reduction High dimensional Stochastic dynamic programming Jin, X. Li, X. Tan, H.H. Wu, Z. A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction
description	10.1016/j.ejor.2013.05.035
author2	MATHEMATICS
author_facet	MATHEMATICS Jin, X. Li, X. Tan, H.H. Wu, Z.
format	Article
author	Jin, X. Li, X. Tan, H.H. Wu, Z.
author_sort	Jin, X.
title	A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction
title_short	A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction
title_full	A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction
title_fullStr	A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction
title_full_unstemmed	A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction
title_sort	computationally efficient state-space partitioning approach to pricing high-dimensional american options via dimension reduction
publishDate	2014
url	http://scholarbank.nus.edu.sg/handle/10635/102623
_version_	1781787612692873216

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

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