Using Localised Quadratic Functions on an Irregular Grid 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 2004-20, Discussion Paper from Tilburg University, Center for Economic Research

Keywords: option pricing; inequality; markov chains (search for similar items in EconPapers)
Date: 2004
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Working Paper: Using Localised Quadratic Functions on an Irregular Grid for Pricing High-Dimensional American Options (2004)
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