10.1016/j.ejor.2013.05.035European Journal of Operational Research2312362-370EJOR
In this paper, we propose an alternative approach for pricing and hedging non-standard American opti...
We present a reduced basis method for the simulation of American option pricing. To tackle this mode...
This thesis proposes and studies numerical methods for pricing high-dimensional American options; im...
The pricing of American-style options by simulation-based methods is an important but difficult task...
We propose and test a new method for pricing American options in a high-dimensional setting. The met...
We introduce a novel numerical framework for pricing American options in high dimensions. Our scheme...
We investigate a new method for pricing high-dimensional American options. The method is of ???nite ...
We propose and test a new method for pricing American options in a high dimensional setting. The met...
Efficient numerical methods for pricing American options using Heston's stochastic volatility ...
There is the need for applying numerical methods to problems that cannot be solved analytically and ...
In this paper, we propose an efficient method for computing the price of multi-asset American option...
We investigate a new method for pricing high-dimensional American options. The method is of finite d...
International audienceIn this paper we propose an efficient method to compute the price of multi-ass...
We develop a new method for pricing American options. The main practical contribution of this paper ...
A greedy algorithm in combination with radial basis functions partition of unity collocation (GRBF-P...
In this paper, we propose an alternative approach for pricing and hedging non-standard American opti...
We present a reduced basis method for the simulation of American option pricing. To tackle this mode...
This thesis proposes and studies numerical methods for pricing high-dimensional American options; im...
The pricing of American-style options by simulation-based methods is an important but difficult task...
We propose and test a new method for pricing American options in a high-dimensional setting. The met...
We introduce a novel numerical framework for pricing American options in high dimensions. Our scheme...
We investigate a new method for pricing high-dimensional American options. The method is of ???nite ...
We propose and test a new method for pricing American options in a high dimensional setting. The met...
Efficient numerical methods for pricing American options using Heston's stochastic volatility ...
There is the need for applying numerical methods to problems that cannot be solved analytically and ...
In this paper, we propose an efficient method for computing the price of multi-asset American option...
We investigate a new method for pricing high-dimensional American options. The method is of finite d...
International audienceIn this paper we propose an efficient method to compute the price of multi-ass...
We develop a new method for pricing American options. The main practical contribution of this paper ...
A greedy algorithm in combination with radial basis functions partition of unity collocation (GRBF-P...
In this paper, we propose an alternative approach for pricing and hedging non-standard American opti...
We present a reduced basis method for the simulation of American option pricing. To tackle this mode...
This thesis proposes and studies numerical methods for pricing high-dimensional American options; im...
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