An Irregular Grid Approach for Pricing High Dimensional American Options

S.J. Berridge, J.M. Schumacher

Research output: Working paperDiscussion paperOther research output

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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

Fingerprint

Grid
American options
Pricing

Keywords

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

Cite this

Berridge, S. J., & Schumacher, J. M. (2002). An Irregular Grid Approach for Pricing High Dimensional American Options. (CentER Discussion Paper; Vol. 2002-99). Tilburg: Finance.
Berridge, S.J. ; Schumacher, J.M. / An Irregular Grid Approach for Pricing High Dimensional American Options. Tilburg : Finance, 2002. (CentER Discussion Paper).
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keywords = "American options, high-dimensional problems, free boundary problems, optimal stopping, variational inequalities, numerical methods, unstructured mesh, Markov chain approximation",
author = "S.J. Berridge and J.M. Schumacher",
note = "Pagination: 31",
year = "2002",
language = "English",
volume = "2002-99",
series = "CentER Discussion Paper",
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Berridge, SJ & Schumacher, JM 2002 'An Irregular Grid Approach for Pricing High Dimensional American Options' CentER Discussion Paper, vol. 2002-99, Finance, Tilburg.

An Irregular Grid Approach for Pricing High Dimensional American Options. / Berridge, S.J.; Schumacher, J.M.

Tilburg : Finance, 2002. (CentER Discussion Paper; Vol. 2002-99).

Research output: Working paperDiscussion paperOther research output

TY - UNPB

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AU - Schumacher, J.M.

N1 - Pagination: 31

PY - 2002

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N2 - AMS classifications: 35R35; 60G40; 65D15; 90C33;

AB - AMS classifications: 35R35; 60G40; 65D15; 90C33;

KW - American options

KW - high-dimensional problems

KW - free boundary problems

KW - optimal stopping

KW - variational inequalities

KW - numerical methods

KW - unstructured mesh

KW - Markov chain approximation

M3 - Discussion paper

VL - 2002-99

T3 - CentER Discussion Paper

BT - An Irregular Grid Approach for Pricing High Dimensional American Options

PB - Finance

CY - Tilburg

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Berridge SJ, Schumacher JM. An Irregular Grid Approach for Pricing High Dimensional American Options. Tilburg: Finance. 2002. (CentER Discussion Paper).