A greedy algorithm for partition of unity collocation method in pricing American options
Sign Up to like & getrecommendations! Published in 2019 at "Mathematical Methods in the Applied Sciences"
DOI: 10.1002/mma.5757
Abstract: A greedy algorithm in combination with radial basis functions partition of unity collocation (GRBF‐PUC) scheme is used as a locally meshless method for American option pricing. The radial basis function partition of unity method (RBF‐PUM)… read more here.
Keywords: greedy algorithm; pricing american; unity collocation; american options ... See more keywords
Pricing of American lookback spread options
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DOI: 10.1016/j.spa.2020.05.012
Abstract: Abstract We find the closed form formula for the price of the perpetual American lookback spread option, whose payoff is the difference of the running maximum and minimum prices of a single asset. We solve… read more here.
Keywords: maximum minimum; american lookback; lookback spread; spread ... See more keywords
Primal–dual quasi-Monte Carlo simulation with dimension reduction for pricing American options
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DOI: 10.1080/14697688.2020.1753884
Abstract: The pricing of American options is one of the most challenging problems in financial engineering due to the involved optimal stopping time problem, which can be solved by using dynamic programming (DP). But applying DP… read more here.
Keywords: monte carlo; dimension reduction; american options; simulation ... See more keywords