Valuation of American Options via Basis Functions
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Publication:5273709
DOI10.1109/TAC.2004.824466zbMath1366.91161MaRDI QIDQ5273709
Samuel Po-Shing Wong, Tze Leung Lai
Publication date: 12 July 2017
Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)
Numerical methods (including Monte Carlo methods) (91G60) Numerical mathematical programming methods (65K05) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
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