A state-space partitioning method for pricing high-dimensional American-style options

10.1111/j.1467-9965.2007.00309.x

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Bibliographic Details
Main Authors:	Jin, X., Tan, H.H., Sun, J.
Other Authors:	MATHEMATICS
Format:	Article
Published:	2014
Subjects:	American-style option Monte Carlo simulation Quasi-Monte Carlo sequence State-space partitioning
Online Access:	http://scholarbank.nus.edu.sg/handle/10635/102767
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Institution:	National University of Singapore

id	sg-nus-scholar.10635-102767
record_format	dspace
spelling	sg-nus-scholar.10635-1027672023-10-30T09:24:12Z A state-space partitioning method for pricing high-dimensional American-style options Jin, X. Tan, H.H. Sun, J. MATHEMATICS American-style option Monte Carlo simulation Quasi-Monte Carlo sequence State-space partitioning 10.1111/j.1467-9965.2007.00309.x Mathematical Finance 17 3 399-426 2014-10-28T02:29:27Z 2014-10-28T02:29:27Z 2007-07 Article Jin, X., Tan, H.H., Sun, J. (2007-07). A state-space partitioning method for pricing high-dimensional American-style options. Mathematical Finance 17 (3) : 399-426. ScholarBank@NUS Repository. https://doi.org/10.1111/j.1467-9965.2007.00309.x 09601627 http://scholarbank.nus.edu.sg/handle/10635/102767 000247608600004 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 Monte Carlo simulation Quasi-Monte Carlo sequence State-space partitioning
spellingShingle	American-style option Monte Carlo simulation Quasi-Monte Carlo sequence State-space partitioning Jin, X. Tan, H.H. Sun, J. A state-space partitioning method for pricing high-dimensional American-style options
description	10.1111/j.1467-9965.2007.00309.x
author2	MATHEMATICS
author_facet	MATHEMATICS Jin, X. Tan, H.H. Sun, J.
format	Article
author	Jin, X. Tan, H.H. Sun, J.
author_sort	Jin, X.
title	A state-space partitioning method for pricing high-dimensional American-style options
title_short	A state-space partitioning method for pricing high-dimensional American-style options
title_full	A state-space partitioning method for pricing high-dimensional American-style options
title_fullStr	A state-space partitioning method for pricing high-dimensional American-style options
title_full_unstemmed	A state-space partitioning method for pricing high-dimensional American-style options
title_sort	state-space partitioning method for pricing high-dimensional american-style options
publishDate	2014
url	http://scholarbank.nus.edu.sg/handle/10635/102767
_version_	1781787634102697984

A state-space partitioning method for pricing high-dimensional American-style options

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