On the complexity of approximation algorithms for American options

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On the complexity of approximation algorithms for American options

16 mai 2014

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Denis Belomestny (Univ. Essen, Allemagne)

In this talk we discuss the complexity of various approximation algorithms for pricing discrete time American options. It turns out that this complexity can be rather high and depends on the so called margin conditions describing the behaviour of the price process near the exercise boundary. We propose a novel multilevel approach to reduce the computational complexity of the pricing algorithms and analyse its performance.

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Date :
16 mai 2014