Computational methods for pricing American put options
type: Item
instance of: scholarly article
title: Computational methods for pricing American put options
zbMATH Open document ID: 1116.91046
author: Q. Zhang
author: Yuanjin Liu
author: G. Yin
published in: Journal of Optimization Theory and Applications
publication date: 2006-11-06T00:00:00Z
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 90C15
zbMATH DE Number: 5070994
zbMATH Keywords: American put options
zbMATH Keywords: regime switching
zbMATH Keywords: boundary-value problems
zbMATH Keywords: stochastic approximations
zbMATH Keywords: stochastic optimization
MaRDI profile type: Publication
full work available at URL: s10957-005-6551-8
OpenAlex ID: W2023258166
cites work: AMERICAN OPTIONS WITH REGIME SWITCHING
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cites work: Valuing American Options by Simulation: A Simple Least-Squares Approach
cites work: Closed-Form Solutions for Perpetual American Put Options with Regime Switching
cites work: Stock trading: an optimal selling rule
cites work: Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach
DOI: 10.1007/S10957-005-6551-8
description: scientific article; zbMATH DE number 5070994