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• W2009254302 abstract "It is well known that option valuation problems with multiple-state variables are often problematic to solve. When valuing options using lattice-type techniques such as finite-difference methods, the curse of dimensionality ensures that additional-state variables lead to exponential increases in computational effort. Monte Carlo methods are immune from this curse but, despite advances, require a great deal of adaptation to treat early exercise features. Here the multiunderlying asset Black–Scholes problem, including early exercise, is studied using the tools of singular perturbation analysis. This considerably simplifies the pricing problem by decomposing the multi-dimensional problem into a series of lower-dimensional problems that are far simpler and faster to solve than the full, high-dimensional problem. This paper explains how to apply these singular perturbation techniques and explores the significant efficiency improvement from such an approach." @default.
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• W2009254302 date "2009-07-01" @default.
• W2009254302 modified "2023-10-18" @default.
• W2009254302 title "SINGULAR PERTURBATION TECHNIQUES APPLIED TO MULTIASSET OPTION PRICING" @default.
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• W2009254302 doi "https://doi.org/10.1111/j.1467-9965.2009.00373.x" @default.
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