A Method For Pricing American Options Using Semi Infinite Linear Programming
Work
Year: 2012
Type: article
Abstract: We introduce a new approach for the numerical pricing of American options. The main idea is to choose a finite number of suitable excessive functions (randomly) and to find the smallest majorant of th... more
Source: Mathematical Finance
Author Sören Christensen
Institution Kiel University
Cites: 37
Cited by: 17
Related to: 10
FWCI: 1.494
Citation percentile (by year/subfield): 93.06
Subfield: Finance
Domain: Social Sciences
Open Access status: green