Implied Stopping Rules for American Basket Options from Markovian Projection

Mathematics

• Upper Bound 100%
• PDE 100%
• Option Price 100%
• Approximates 100%
• Stopping Rule 100%
• Subproblem 50%
• Laplace Approximation 50%
• Parameter Space 50%
• Relative Error 50%
• Curse of Dimensionality 50%
• Diffusivity 50%
• Higher Dimensions 50%
• Dimensional Problem 50%
• Optimal Control Problem 50%
• Dimensional Space 50%
• Optimal Stopping Problem 50%

Keyphrases

• American Basket Option 100%
• Markovian Projection 100%
• Early Exercise Boundary 50%
• Exercise Strategy 50%
• Bachelier Model 25%
• Pricing Method 25%
• Early Exercise 25%
• Project States 25%
• Black-Scholes Model 25%
• HJB PDE 25%

Economics, Econometrics and Finance

• Pricing 100%
• Search Theory 50%
• Optimal Control 50%
• Relative Cost 50%