An Irregular Grid Approach for Pricing High Dimensional American Options

S.J. Berridge, J.M. Schumacher

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Abstract

AMS classifications: 35R35; 60G40; 65D15; 90C33;
Original languageEnglish
Place of PublicationTilburg
PublisherFinance
Number of pages31
Volume2002-99
Publication statusPublished - 2002

Publication series

NameCentER Discussion Paper
Volume2002-99

Keywords

  • American options
  • high-dimensional problems
  • free boundary problems
  • optimal stopping
  • variational inequalities
  • numerical methods
  • unstructured mesh
  • Markov chain approximation

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