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An irregular grid approach for pricing high-dimensional American options · Study

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ArticleAn irregular grid approach for pricing high-dimensional American options

Steffan John Berridge2007

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Articlebronze2007

An irregular grid approach for pricing high-dimensional American options

Steffan John Berridge · Johannes M. Schumacher

16 citations·0/0 files stored·Journal of Computational and Applied Mathematics

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Stochastic processes and financial applications Advanced Numerical Methods in Computational Mathematics Mathematical Approximation and Integration

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References

2003Monte Carlo Methods in Financial Engineering 2001Valuing American Options by Simulation: A Simple Least-Squares Approach 1990Numerical Methods for Stochastic Control Problems in Continuous Time 1997Monte Carlo methods for security pricing 1992Numerical Methods for Stochastic Control Problems in Continuous Time 1997Pricing American-style securities using simulation 2001Regression methods for pricing complex American-style options 2002Monte Carlo valuation of American options

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2006The Valuation of Real Options with the Least Squares Monte Carlo Simulation Methodpreprint · 15 shared references 2009An efficient implementation of a least squares Monte Carlo method for valuing American-style optionsarticle · 15 shared references 2003Convergence and Biases of Monte Carlo estimates of American option prices using a parametric exercise rulearticle · 12 shared references 2009Optimal stopping and American optionsarticle · 11 shared references 2004Primal-Dual Simulation Algorithm for Pricing Multidimensional American Optionsarticle · 10 shared references 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 10 shared references

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Year2007

Typearticle

Published2007-12-04

VenueJournal of Computational and Applied Mathematics

ISSN-L0377-0427

Languageen

Citations16

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.cam.2007.10.045

openalex_workW2100654802

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