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Unpublished conference/Abstract (Scientific congresses, symposiums and conference proceedings)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

2016 • 33rd French Finance Association Conference

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https://hdl.handle.net/10993/30015

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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

Pederzoli, Paola

Scaillet, Olivier

External co-authors :

yes

Language :

English

Title :

Valuing American options using fast recursive projections

Publication date :

May 2016

Event name :

33rd French Finance Association Conference

Event date :

May 23-25, 2016.

Audience :

International

Focus Area :

Finance

Available on ORBilu :

since 06 March 2017

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