Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: A method for pricing American options using semi-infinite linear
  programming   We introduce a new approach for the numerical pricing of American options.
The main idea is to choose a finite number of suitable excessive functions
(randomly) and to find the smallest majorant of the gain function in the span
of these functions. The resulting problem is a linear semi-infinite programming
problem, that can be solved using standard algorithms. This leads to good upper
bounds for the original problem. For our algorithms no discretization of space
and time and no simulation is necessary. Furthermore it is applicable even for
high-dimensional problems. The algorithm provides an approximation of the value
not only for one starting point, but for the complete value function on the
continuation set, so that the optimal exercise region and e.g. the Greeks can
be calculated. We apply the algorithm to (one- and) multidimensional diffusions
and to L\'evy processes, and show it to be fast and accurate.

21
The categories of this paper are: adap-org
25
The categories of this paper are: patt-sol
7
The categories of this paper are: hep-th
6
The categories of this paper are: astro-ph
23
The categories of this paper are: solv-int
14
The categories of this paper are: math-ph
20
The categories of this paper are: acc-phys
18
The categories of this paper are: econ
8
The categories of this paper are: hep-ex
34
The categories of this paper are: chem-ph
35
The categories of this paper are: mtrl-th
12
The categories of this paper are: nucl-th
16
The categories of this paper are: stat
29
The categories of this paper are: funct-an
31
The categories of this paper are: ao-sci
33
The categories of this paper are: plasm-ph