Dimitri Offengenden

Strategist

Strategist

United States

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Citation 4

High Performance American Option Pricing

Number of pages: 43 Posted: 11 Jan 2015 Last Revised: 12 Aug 2015
Leif B. G. Andersen, Mark Lake and Dimitri Offengenden
Bank of America Merrill Lynch, Bank of America Merrill Lynch and Strategist
Downloads 1,308 (13,908)
Citation 3

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American option pricing, integral equations, fixed point algorithm, Chebyshev interpolation, collocation methods

High-Performance American Option Pricing

Journal of Computational Finance, 20(1), 39-87, DOI:10.21314/JCF.2016.312
Number of pages: 50 Posted: 02 Aug 2016
Leif B. G. Andersen, Mark Lake and Dimitri Offengenden
Bank of America Merrill Lynch, Bank of America Merrill Lynch and Strategist
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Citation 2
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american options, integral, computational finance