Efficient Price and Greeks Computation for American Options via Gradient-Enhanced LSM
:::info Authors: (1) Jiefei Yang, †Department of Mathematics, University of Hong Kong, Pokfulam, Hong Kong (jiefeiy@connect.hku.hk); (2) Guanglian Li, Department of Mathematics, University of Hong Kong, Pokfulam, Hong Kong (lotusli@maths.hku.hk). ::: Table of Links Abstract and 1. Introduction Bermudan option pricing and hedging Sparse Hermite polynomial expansion and gradient Algorithm and complexity Convergence analysis Numerical … Read more