An Irregular Grid Approach for Pricing High Dimensional American Options

S.J. Berridge and Johannes Schumacher
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S.J. Berridge: Tilburg University, Center For Economic Research

No 2002-99, Discussion Paper from Tilburg University, Center for Economic Research

Keywords: American options; high-dimensional problems; free boundary problems; optimal stopping; variational inequalities; numerical methods; unstructured mesh; Markov chain approximation (search for similar items in EconPapers)
Date: 2002
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Related works:
Working Paper: An Irregular Grid Approach for Pricing High-Dimensional American Options (2004)
Working Paper: An Irregular Grid Approach for Pricing High-Dimensional American Options (2004)
Working Paper: An Irregular Grid Approach for Pricing High Dimensional American Options (2002)
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