"A computationally efficient state-space partitioning approach to pricing ..."

Xing Jin et al. (2013)

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DOI: 10.1016/J.EJOR.2013.05.035

access: closed

type: Journal Article

metadata version: 2020-02-21

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Xing Jin, Xun Li, Hwee Huat Tan, Zhenyu Wu:
A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction. Eur. J. Oper. Res. 231(2): 362-370 (2013)

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