A METHOD FOR PRICING AMERICAN OPTIONS USING SEMI‐INFINITE LINEAR PROGRAMMING

DOI10.1111/j.1467-9965.2012.00523.xzbMath1294.91170arXiv1103.4483OpenAlexW2116277703MaRDI QIDQ5411398

Sören Christensen

Publication date: 23 April 2014

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1103.4483

zbMATH Keywords

upper boundsoptimal stoppingAmerican optionsharmonic functionssemi-infinite linear programmingexcessive functions

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Linear programming (90C05) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Semi-infinite programming (90C34) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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