Pricing high-dimensional American options using local consistency conditions

S.J. Berridge, J.M. Schumacher

Research output: Chapter in Book/Report/Conference proceedingChapterScientificpeer-review

4 Citations (Scopus)
Original languageEnglish
Title of host publicationNumerical Methods for Finance
EditorsJ. Miller, D. Edelman, J. Appleby
Place of PublicationLondon
PublisherChapman & Hall/CRC
Pages293
Number of pages293
ISBN (Print)139781584889250
Publication statusPublished - 2007

Publication series

NameFinancial Mathematics Series

Cite this

Berridge, S. J., & Schumacher, J. M. (2007). Pricing high-dimensional American options using local consistency conditions. In J. Miller, D. Edelman, & J. Appleby (Eds.), Numerical Methods for Finance (pp. 293). (Financial Mathematics Series). Chapman & Hall/CRC.