A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets
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DOI: 10.1007/s10436-005-0034-7
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Cited by:
- Jin, Xing & Li, Xun & Tan, Hwee Huat & Wu, Zhenyu, 2013. "A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction," European Journal of Operational Research, Elsevier, vol. 231(2), pages 362-370.
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More about this item
Keywords
High-dimensional options; Maximum; Minimum; Mean-reverting; Stochastic volatility; C63; G12;All these keywords.
JEL classification:
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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