Pricing High-Dimensional American Options Using Local Consistency Conditions
Year of publication: |
2004
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Authors: | Schumacher, Johannes M. ; Berridge, S.J. |
Institutions: | Tilburg University, Center for Economic Research |
Subject: | option pricing | inequality | markov chains |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series CentER Discussion Paper Number 2004-19 |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C63 - Computational Techniques |
Source: |
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Schumacher, Johannes M., (2004)
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An Irregular Grid Approach for Pricing High-Dimensional American Options
Schumacher, Johannes M., (2004)
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Relevant States and Memory in Markov Chain Bootstrapping and Simulation
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An Irregular Grid Approach for Pricing High Dimensional American Options
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Schumacher, Johannes M., (2004)
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An Irregular Grid Approach for Pricing High-Dimensional American Options
Schumacher, Johannes M., (2004)
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