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

Saved in:
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
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: National University of Singapore
Be the first to leave a comment!
You must be logged in first

Similar Items