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Numerical Valuation of High Dimensional Multivariate American Securities
1995
Journal of Financial and Quantitative Analysis
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However, these methods cannot be used for high-dimensional problems, since their memory requirement is exponential in the number of risk sources. ...
Our numerical experiments show that the method is practical for pricing American claims depending on up to 400 risk sources. ...
We wish to thank Thierry Pudet for reviewing an earlier draft. ...
doi:10.2307/2331347
fatcat:lj2qarsd5fcttot67mwbit6cuy
Page 829 of Mathematical Reviews Vol. , Issue 2000a
[page]
2000
Mathematical Reviews
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Analysis of the SSAP method for the numerical valuation of high-dimensional multivariate American securities. (English summary)
Algorithmica 25 (1999), no. 1, 75-98. ...
Summary: “We consider a new numerical method developed by Barraquand and Martineau for the pricing of American securities
For the web version of Mathematical Reviews, see http: //www.ams.org/mathscinet ...
Implied Stopping Rules for American Basket Options from Markovian Projection
[article]
2017
arXiv
pre-print
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2017 pre-print arXiv:1705.00558v3 fatcat:qqdsvtkpkje2vebogylzn4ypbmOther Versions
In high dimensions, nonlinear partial differential equation methods for solving the problem become prohibitively costly due to the curse of dimensionality. ...
The resulting near-optimal early-exercise boundary is used to produce an exercise strategy for the high-dimensional option, thereby providing a lower bound for the price of the American basket option. ...
We thank Professors Ernesto Mordecki and Fabián Crocce for their feedback which significantly improved this manuscript. Gillis Danielsen provided much-valued practitioner's views. ...
arXiv:1705.00558v4
fatcat:ompm6zsu2jdbvnjacjb5eswuru
Implied stopping rules for American basket options from Markovian projection
2018
Quantitative finance (Print)
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A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2020; you can also visit the original URL.
The file type is application/pdf.
In high dimensions, nonlinear partial differential equation methods for solving the problem become prohibitively costly due to the curse of dimensionality. ...
The resulting near-optimal early-exercise boundary is used to produce an exercise strategy for the high-dimensional option, thereby providing a lower bound for the price of the American basket option. ...
We thank Professors Ernesto Mordecki and Fabián Crocce for their feedback which significantly improved this manuscript. Gillis Danielsen provided much-valued practitioner's views. ...
doi:10.1080/14697688.2018.1481290
fatcat:3ox4yognrnbshnntpzcgizjl3a
Pricing high-dimensional Bermudan options using the stochastic grid method
2012
International Journal of Computer Mathematics
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Finance 7 (2004), pp. 35-72], and stratified state aggregation along the pay-off method of Barraquand and Martineau [Numerical valuation of high-dimensional multivariate American securities, J. ...
We focus on the numerical results for high-dimensional problems such as max option and arithmetic basket option on several assets, with basic error analysis for a general one-dimensional problem. 1187 ...
Mapping high-dimensional state to single-dimensional g(·)-space In an approach similar to Barraquand and Martineau's SSAP method [3] , we reduce the dimensions of the problem by using g(S t i+1 ) rather ...
doi:10.1080/00207160.2012.690035
fatcat:4smszcq675bonlz57yx3czzmmq
Page 2539 of Mathematical Reviews Vol. 32, Issue Index
[page]
Mathematical Reviews
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Analysis of the SSAP method for the numerical valuation of high-dimensional multivariate American securities. ...
(English summary) 2000d:91064
Buff, Robert Worst-case scenarios for American options. ...
Page 2117 of Mathematical Reviews Vol. 32, Issue Index
[page]
Mathematical Reviews
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Analysis of the SSAP method for the numerical valuation of high-dimensional multivariate American securities. (English summary) Algorithmica 25 (1999), no. 1, 75-98. ...
Numer. Methods Fluids 31 (1999), no. 4, 747-765. (Summary) 2000f:76085 76M20
— (with Lee, Shyi-Shiun; Lee, Shih-Tuen) Numerical solution of the system of Vlasov-Poisson equations. ...
Efficient Numerical Methods for Stochastic Differential Equations in Computational Finance
2017
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In this dissertation, we present novel effective methods for evaluating Quantities of Interest relevant to computational finance when the state of the system is described by an SDE. ...
Numerical approximation methods are typically needed in evaluating relevant Quantities of Interest arising from such models. ...
The authors would like to thank Arturo Kohatsu-Higa for his helpful suggestions for improvements in the proof of Theorem 6.2.1. ...
doi:10.25781/kaust-71t82
fatcat:dgrmduu3azegpp7wx2w43tlkya