Numerical Study of Splitting Methods for American Option Valuation
DOI10.1007/978-3-319-61282-9_20zbMath1420.91511arXiv1610.09622OpenAlexW2543833630MaRDI QIDQ4626513
Karel J. in 't Hout, Radoslav L. Valkov
Publication date: 28 February 2019
Published in: Novel Methods in Computational Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1610.09622
Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)
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Cites Work
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