An Irregular Grid Approach for Pricing High Dimensional American Options
Year of publication: |
2002
|
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Authors: | Schumacher, Johannes M. ; Berridge, S.J. |
Institutions: | Tilburg University, Center for Economic Research |
Subject: | American options | high-dimensional problems | free boundary problems | optimal stopping | variational inequalities | numerical methods | unstructured mesh | Markov chain approximation |
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 2002-99 |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C63 - Computational Techniques |
Source: |
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