Comment Comment by fakesson "High Performance American Option Pricing" by Leif Andersen et al is many orders of magnitude faster than any finite difference method or other PDE / tree method. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2547027Given the exercise boundary, the American Option Price can be written exactly as a one-dimensional integral. That is the key insight to this superior method. parent fakesson 2 years ago
Given the exercise boundary, the American Option Price can be written exactly as a one-dimensional integral. That is the key insight to this superior method.