Type
ArticleKAUST Department
Applied Mathematics and Computational Science ProgramComputer, Electrical and Mathematical Sciences & Engineering Division (CEMSE), King Abdullah University of Science and Technology (KAUST), Thuwal, Saudi Arabia
Computer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division
Stochastic Numerics Research Group
KAUST Grant Number
URF/1/2584-01-01Date
2020-07-07Online Publication Date
2020-07-07Print Publication Date
2020-11-01Permanent link to this record
http://hdl.handle.net/10754/630806
Metadata
Show full item recordAbstract
A new method for the numerical pricing of American options.Citation
Bayer, C., Tempone, R., & Wolfers, S. (2020). Pricing American options by exercise rate optimization. Quantitative Finance, 1–12. doi:10.1080/14697688.2020.1750678Sponsors
This work was supported by the King Abdullah University of Science and Technology (KAUST) Office of Sponsored Research (OSR, award URF/1/2584-01-01), the German Research Foundation (DFG, grant BA5484/1) and the Alexander von Humboldt Foundation. R. Tempone and S. Wolfers are members of the KAUST SRI Center for Uncertainty Quantification in Computational Science and Engineering.Publisher
Informa UK LimitedJournal
Quantitative FinancearXiv
1809.07300Additional Links
https://www.tandfonline.com/doi/full/10.1080/14697688.2020.1750678ae974a485f413a2113503eed53cd6c53
10.1080/14697688.2020.1750678