Number of paths versus number of basis functions in American option pricing

Annals of Applied Probability

Volumn 14, Issue 4, 2004, Pages 2090-2119

  Glasserman, Paul ^a   Yu, Bin ^a  

^a Columbia University ^*  (United States)

Author keywords

Dynamic programming; Finance; Monte Carlo methods; Optimal stopping; Orthogonal polynomials

Indexed keywords

EID: 24144443623     PISSN: 10505164     EISSN: 10505164     Source Type: Journal    
DOI: None     Document Type: Article

References (19)

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