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- W1598494920 abstract "In this article we propose a novel approach to reduce the computational complexity of various approximation methods for pricing discrete time American options. Given a sequence of continuation values estimates corresponding to different levels of spatial approximation and time discretization, we propose a multi-level low biased estimate for the price of an American option. It turns out that the resulting complexity gain can be rather high and can even reach the order (varepsilon^{-1}) with (varepsilon) denoting the desired precision. The performance of the proposed multilevel algorithm is illustrated by a numerical example of pricing Bermudan max-call options." @default.
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- W1598494920 date "2013-03-06" @default.
- W1598494920 modified "2023-09-27" @default.
- W1598494920 title "Pricing American options via multi-level approximation methods" @default.
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