Jin, Xing; Li, Xun; Tan, Hwee Huat; Wu, Zhenyu - In: European Journal of Operational Research 231 (2013) 2, pp. 362-370
This paper studies the problem of pricing high-dimensional American options. We propose a method based on the state-space partitioning algorithm developed by Jin et al. (2007) and a dimension-reduction approach introduced by Li and Wu (2006). By applying the approach in the present paper, the...