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Analysis of the SSAP method for the numerical valuation of high-dimensional multivariate American securities (Q1818276)

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scientific article; zbMATH DE number 1383764
Language Label Description Also known as
English
Analysis of the SSAP method for the numerical valuation of high-dimensional multivariate American securities
scientific article; zbMATH DE number 1383764

    Statements

    title
    Analysis of the SSAP method for the numerical valuation of high-dimensional multivariate American securities (English)
    0 references
    author
    Yanyan Li
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    published in
    Algorithmica
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    publication date
    1 February 2000
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    zbMATH Keywords
    American options
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    American pricing
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    Monte Carlo simulation
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    optimal control
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    finite-difference
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    Itô process
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    Identifiers

    DOI
    10.1007/PL00009284
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    zbMATH DE Number
    1383764
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