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Dual Pricing of American Options by Wiener Chaos Expansion - MaRDI portal

Dual Pricing of American Options by Wiener Chaos Expansion (Q4579832)

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scientific article; zbMATH DE number 6915868
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English
Dual Pricing of American Options by Wiener Chaos Expansion
scientific article; zbMATH DE number 6915868

    Statements

    title
    Dual Pricing of American Options by Wiener Chaos Expansion (English)
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    author
    Jérôme Lelong
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    publication date
    10 August 2018
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    zbMATH Keywords
    American option
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    duality
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    Snell envelope
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    stochastic optimization
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    sample average approximation
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    high performance computing
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    Wiener chaos expansion
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    cites work
    Q4895161
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    Q4218974
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    Q3028166
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    Q3141922
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    Identifiers

    DOI
    10.1137/16M1102161
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    Mathematics Subject Classification ID
    91G60
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    65C05
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    65Y05
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    91G20
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    60G40
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    zbMATH DE Number
    6915868
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    arXiv ID
    1604.03317
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    Wikidata QID
    Q129972412
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