A stochastic mesh method for pricing high-dimensional American options
Top Cited Papers
- 1 January 2004
- journal article
- Published by Infopro Digital Services Limited in Journal of Computational Finance
- Vol. 7 (4) , 35-72
- https://doi.org/10.21314/jcf.2004.117
Abstract
High-dimensional problems frequently arise in the pricing of derivative securities – for example, in pricing options on..., Original Research, Computational financeKeywords
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