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A Method For Pricing American Options Using Semi-Infinite Linear Programming

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  • Sören Christensen

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  • Sören Christensen, 2014. "A Method For Pricing American Options Using Semi-Infinite Linear Programming," Mathematical Finance, Wiley Blackwell, vol. 24(1), pages 156-172, January.
    • Handle: RePEc:bla:mathfi:v:24:y:2014:i:1:p:156-172
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    File URL: http://hdl.handle.net/10.1111/j.1467-9965.2012.00523.x
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    References listed on IDEAS

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    1. Vijay V. Desai & Vivek F. Farias & Ciamac C. Moallemi, 2012. "Pathwise Optimization for Optimal Stopping Problems," Management Science, INFORMS, vol. 58(12), pages 2292-2308, December.
    2. Martin Lauko & Daniel Sevcovic, 2010. "Comparison of numerical and analytical approximations of the early exercise boundary of the American put option," Papers 1002.0979, arXiv.org, revised Aug 2010.
    3. Martin B. Haugh & Leonid Kogan, 2004. "Pricing American Options: A Duality Approach," Operations Research, INFORMS, vol. 52(2), pages 258-270, April.
    4. L. C. G. Rogers, 2002. "Monte Carlo valuation of American options," Mathematical Finance, Wiley Blackwell, vol. 12(3), pages 271-286, July.
    5. Dayanik, Savas & Karatzas, Ioannis, 2003. "On the optimal stopping problem for one-dimensional diffusions," Stochastic Processes and their Applications, Elsevier, vol. 107(2), pages 173-212, October.
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    Cited by:

    1. Soren Christensen & Albrecht Irle & Julian Peter Lemburg, 2021. "Flexible forward improvement iteration for infinite time horizon Markovian optimal stopping problems," Papers 2111.13443, arXiv.org.
    2. Louis Bhim & Reiichiro Kawai, 2018. "Smooth Upper Bounds For The Price Function Of American Style Options," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(01), pages 1-38, February.
    3. Miclo, Laurent & Villeneuve, Stéphane, 2019. "On the forward algorithm for stopping problems on continuous-time Markov chains," TSE Working Papers 19-1009, Toulouse School of Economics (TSE).
    4. David A. Goldberg & Yilun Chen, 2018. "Beating the curse of dimensionality in options pricing and optimal stopping," Papers 1807.02227, arXiv.org, revised Aug 2018.
    5. Soren Christensen & Jan Kallsen & Matthias Lenga, 2020. "Are American options European after all?," Papers 2002.05571, arXiv.org.
    6. Sebastian Becker & Patrick Cheridito & Arnulf Jentzen & Timo Welti, 2019. "Solving high-dimensional optimal stopping problems using deep learning," Papers 1908.01602, arXiv.org, revised Aug 2021.

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