A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction
Xing Jin; Xun Li; Hwee Huat Tan; Zhenyu Wu
| Year of publication: |
2013
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|---|---|
| Authors: | Jin, Xing ; Li, Xun ; Hwee Huat Tan ; Wu, Zhenyu |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 231.2013, 2 (1.12.), p. 362-370
|
| Subject: | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009785582