Pricing high-dimensional American options using local consistency conditions

Research output: Chapter in Book/Report/Conference proceeding › Chapter › Scientific › peer-review

Original language	English
Title of host publication	Numerical Methods for Finance
Editors	J. Miller, D. Edelman, J. Appleby
Place of Publication	London
Publisher	Chapman & Hall/CRC
Pages	293
Number of pages	293
ISBN (Print)	139781584889250
Publication status	Published - 2007

Name	Financial Mathematics Series

Cite this

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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",

}

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M3 - Chapter

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PB - Chapman & Hall/CRC

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