Broadie, Mark; Yamamoto, Yusaku - In: Management Science 49 (2003) 8, pp. 1071-1088
In many of the numerical methods for pricing American options based on the dynamic programming approach, the most computationally intensive part can be formulated as the summation of Gaussians. Though this operation usually requiresO(NN') work when there areN' summations to compute and the...