Computational methods for pricing American put options
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Publication:850830
DOI10.1007/s10957-005-6551-8zbMath1116.91046OpenAlexW2023258166MaRDI QIDQ850830
Qing Zhang, G. George Yin, Yuanjin Liu
Publication date: 6 November 2006
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10957-005-6551-8
stochastic optimizationregime switchingboundary-value problemsstochastic approximationsAmerican put options
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Cites Work
- Stock Trading: An Optimal Selling Rule
- AMERICAN OPTIONS WITH REGIME SWITCHING
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
- Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach
- Closed-Form Solutions for Perpetual American Put Options with Regime Switching
- Valuing American Options by Simulation: A Simple Least-Squares Approach
