A New Approach for American Option Pricing: The Dynamic Chebyshev Method
Author:
Funder
KPMG
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Computational Mathematics
Link
https://epubs.siam.org/doi/pdf/10.1137/18M1193001
Reference22 articles.
1. A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions
2. Regression-Based Complexity Reduction of the Nested Monte Carlo Methods
3. The Valuation of American Put Options
4. Shape-preserving dynamic programming
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