Showing 1 - 6 of 6
Persistent link: https://www.econbiz.de/10011901901
Persistent link: https://www.econbiz.de/10011791590
Persistent link: https://www.econbiz.de/10012819482
Persistent link: https://www.econbiz.de/10012620053
We introduce a novel numerical framework for pricing American options in high dimensions. Our scheme manages to alleviate the problem of dimension scaling through the use of adaptive sparse grids. We approximate the value function with a low number of points and recursively apply fast...
Persistent link: https://www.econbiz.de/10012935252
We present the first computational framework that can compute global solutions to very-high-dimensional dynamic stochastic economic models on arbitrary state space geometries.This framework can also resolve value and policy functions' local features and perform uncertainty quantification, in a...
Persistent link: https://www.econbiz.de/10012961728