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Pricing high-dimensional American options using local consistency conditions

Berridge,S.J.
; 
Schumacher,J.M.
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Appeared earlier as CentER DP 2004-19 Pagination: 293
Date
2007
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Chapman & Hall/CRC
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Tilburg University Research Output Collection
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Citation
Berridge, S J & Schumacher, J M 2007, Pricing high-dimensional American options using local consistency conditions. in J Miller, D Edelman & J Appleby (eds), Numerical Methods for Finance. Financial Mathematics Series, Chapman & Hall/CRC, London, pp. 293.
URI
https://hdl.handle.net/20.500.14602/13134
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