Pricing high-dimensional American options using local consistency conditions

S.J. Berridge, J.M. Schumacher

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

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). London: Chapman & Hall/CRC.
Berridge, S.J. ; Schumacher, J.M. / Pricing high-dimensional American options using local consistency conditions. Numerical Methods for Finance. editor / J. Miller ; D. Edelman ; J. Appleby. London : Chapman & Hall/CRC, 2007. pp. 293 (Financial Mathematics Series).
@inbook{7c7316bbf4144472a0d9d9bbcf1f8775,
title = "Pricing high-dimensional American options using local consistency conditions",
author = "S.J. Berridge and J.M. Schumacher",
note = "Appeared earlier as CentER DP 2004-19 Pagination: 293",
year = "2007",
language = "English",
isbn = "139781584889250",
series = "Financial Mathematics Series",
publisher = "Chapman & Hall/CRC",
pages = "293",
editor = "J. Miller and D. Edelman and J. Appleby",
booktitle = "Numerical Methods for Finance",

}

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

Pricing high-dimensional American options using local consistency conditions. / Berridge, S.J.; Schumacher, J.M.

Numerical Methods for Finance. ed. / J. Miller; D. Edelman; J. Appleby. London : Chapman & Hall/CRC, 2007. p. 293 (Financial Mathematics Series).

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

TY - CHAP

T1 - Pricing high-dimensional American options using local consistency conditions

AU - Berridge, S.J.

AU - Schumacher, J.M.

N1 - Appeared earlier as CentER DP 2004-19 Pagination: 293

PY - 2007

Y1 - 2007

M3 - Chapter

SN - 139781584889250

T3 - Financial Mathematics Series

SP - 293

BT - Numerical Methods for Finance

A2 - Miller, J.

A2 - Edelman, D.

A2 - Appleby, J.

PB - Chapman & Hall/CRC

CY - London

ER -

Berridge SJ, Schumacher JM. Pricing high-dimensional American options using local consistency conditions. In Miller J, Edelman D, Appleby J, editors, Numerical Methods for Finance. London: Chapman & Hall/CRC. 2007. p. 293. (Financial Mathematics Series).