A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction
10.1016/j.ejor.2013.05.035
Saved in:
| Main Authors: | , , , |
|---|---|
| Other Authors: | |
| Format: | Article |
| Published: |
2014
|
| Subjects: | |
| Online Access: | http://scholarbank.nus.edu.sg/handle/10635/102623 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | National University of Singapore |