Valuing American options using fast recursive projections

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Unpublished conference/Abstract (Scientific congresses, symposiums and conference proceedings)

Cosma, Antonio; Galluccio, Stefano; Pederzoli, Paola et al.

2014 • Mathematical and Statistical Methods for Actuarial Sciences and Finance

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https://hdl.handle.net/10993/17913

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Disciplines :

Finance

Author, co-author :

Cosma, Antonio ; University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Center for Research in Economic Analysis (CREA)

Galluccio, Stefano; BNP Paribas

Pederzoli, Paola; Université de Genève - UNIGE and Swiss Finance Institute

Scaillet, Olivier; Université de Genève - UNIGE and Swiss Finance Institute

External co-authors :

yes

Language :

English

Title :

Valuing American options using fast recursive projections

Publication date :

April 2014

Event name :

Mathematical and Statistical Methods for Actuarial Sciences and Finance

Event organizer :

Università di Salerno

Event place :

Vietri sul Mare, Italy

Event date :

22-4-2014 to 24-4-2014

Audience :

International

Available on ORBilu :

since 09 September 2014

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