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High dimensional American options

Abstract:

Pricing single asset American options is a hard problem in mathematical finance. There are no closed form solutions available (apart from in the case of the perpetual option), so many approximations and numerical techniques have been developed. Pricing multi–asset (high dimensional) American options is still more difficult. We extend the method proposed theoretically by Glasserman and Yu (2004) by employing regression basis functions that are martingales under geometric Brownian motion. This...

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Neil Powell Firth More by this author
Publication date:
2005
URN:
uuid:dd46853a-35a1-44a3-a6a4-e39e13bfe78c
Local pid:
oai:eprints.maths.ox.ac.uk:218

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