Abstract
This paper investigates the valuation of American option by developing a new technique for solving the optimal stopping problem modeled with Brownian motion. In particular, applying a martingale technique, the value function of option is approximated by specific basis functions. Compared with the traditional approaches, our method is more efficient without losing the accuracy. We show both the theoretical analysis and numerical implements.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
