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Using Localised Quadratic Functions on an Irregular Grid for Pricing High-Dimensional American Options

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  • Berridge, S.J.

    (Tilburg University, Center For Economic Research)

  • Schumacher, J.M.

    (Tilburg University, Center For Economic Research)

Abstract

No abstract is available for this item.

Suggested Citation

  • Berridge, S.J. & Schumacher, J.M., 2004. "Using Localised Quadratic Functions on an Irregular Grid for Pricing High-Dimensional American Options," Discussion Paper 2004-20, Tilburg University, Center for Economic Research.
    • Handle: RePEc:tiu:tiucen:c2b60e69-7945-44b2-b7b6-2c61c4637998
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    References listed on IDEAS

    as
    1. Berridge, S.J. & Schumacher, J.M., 2002. "An Irregular Grid Approach for Pricing High Dimensional American Options," Discussion Paper 2002-99, Tilburg University, Center for Economic Research.
    2. Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," University of California at Los Angeles, Anderson Graduate School of Management qt43n1k4jb, Anderson Graduate School of Management, UCLA.
    3. Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," The Review of Financial Studies, Society for Financial Studies, vol. 14(1), pages 113-147.
    4. L. C. G. Rogers, 2002. "Monte Carlo valuation of American options," Mathematical Finance, Wiley Blackwell, vol. 12(3), pages 271-286, July.
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