Using Localized Quadratic Functions on an Irregular Grid for Pricing High-Dimensional American Options

We propose a method for pricing high-dimensional American options on an irregular grid; the method involves using quadratic functions to approximate the local effect of the Black-Scholes operator. Once such an approximation is known, one can solve the pricing problem by time stepping in an explicit or implicit manner. We study stability of the method in two dimensions, and find that the grid structure is important in providing a stable approximation to the operator

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Year of publication:	[2004]
Authors:	Berridge, Steffan John
Other Persons:	Schumacher, J. M. (contributor)
Publisher:	[2004]: [S.l.] : SSRN
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2004 erstellt Volltext nicht verfügbar
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C63 - Computational Techniques
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012785619