A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction

Xing Jin, Xun Li, Hwee Huat Tan, Zhenyu Wu

Research output: Journal article publication › Journal article › Academic research › peer-review

12 Citations (Scopus)

Fingerprint

Dive into the research topics of 'A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction'. Together they form a unique fingerprint.

Keyphrases

Engineering

Computer Science

Mathematics

Economics, Econometrics and Finance