Belomestny, Denis; Schoenmakers, John; Dickmann, Fabian - In: Finance and Stochastics 17 (2013) 4, pp. 717-742
In this article we propose a novel approach to reduce the computational complexity of the dual method for pricing American options. We consider a sequence of martingales that converges to a given target martingale and decompose the original dual representation into a sum of representations that...