{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,8,21]],"date-time":"2026-08-21T14:39:30Z","timestamp":1787323170956,"version":"3.56.0"},"reference-count":20,"publisher":"Society for Industrial & Applied Mathematics (SIAM)","issue":"1","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["SIAM J. Finan. Math."],"published-print":{"date-parts":[[2011,1]]},"abstract":"<jats:p>We propose a method for pricing American options whose payoff depends on the moving average of the underlying asset price. The method uses a finite-dimensional approximation of the infinite-dimensional dynamics of the moving average process based on a truncated Laguerre series expansion. The resulting problem is a finite-dimensional optimal stopping problem, which we propose solving with a least squares Monte Carlo approach. We analyze the theoretical convergence rate of our method and present numerical results in the Black\u2013Scholes framework.<\/jats:p>","DOI":"10.1137\/100815566","type":"journal-article","created":{"date-parts":[[2011,11,16]],"date-time":"2011-11-16T10:43:49Z","timestamp":1321440229000},"page":"989-1013","source":"Crossref","is-referenced-by-count":10,"title":["A Finite-Dimensional Approximation for Pricing Moving Average Options"],"prefix":"10.1137","volume":"2","author":[{"given":"Marie","family":"Bernhart","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Peter","family":"Tankov","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Xavier","family":"Warin","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"351","published-online":{"date-parts":[[2011,11,15]]},"reference":[{"key":"R1","doi-asserted-by":"publisher","DOI":"10.1016\/j.spa.2009.03.007"},{"key":"R2","unstructured":"R. Bilger,\n                      Evaluation of American-Asian Options with the Longstaff-Schwartz Algorithm\n                      , M.Sc. thesis, Oxford University, Oxford, UK, 2003."},{"key":"R3","unstructured":"B. Bouchard and X. Warin,\n                      Monte-Carlo valorisation of American options: Facts and new algorithms to improve existing methods\n                      , in Numerical Methods in Finance, Springer Proceedings in Mathematics, R. Carmona, P. Del Moral, P. Hu, and N. Oudjane, eds., to appear."},{"key":"R4","doi-asserted-by":"publisher","DOI":"10.1080\/14697680701763086"},{"key":"R5","doi-asserted-by":"publisher","DOI":"10.1016\/j.jedc.2009.10.008"},{"key":"R6","unstructured":"A. Erd\u00e9lyi, W. Magnus, F. Oberhettinger, and F. G. Tricomi,\n                      Higher Transcendental Functions\n                      , McGraw\u2013Hill, New York, 1953."},{"key":"R7","doi-asserted-by":"publisher","DOI":"10.1007\/s11118-010-9187-8"},{"key":"R8","doi-asserted-by":"publisher","DOI":"10.1080\/07362990903415825"},{"key":"R9","doi-asserted-by":"publisher","DOI":"10.1016\/j.spl.2005.09.006"},{"key":"R10","unstructured":"A. J. Grau,\n                      Applications of Least-Squares Regressions to Pricing and Hedging of Financial Derivatives\n                      , Ph.D. thesis, University of Munich, Munich, Germany, 2008."},{"key":"R11","doi-asserted-by":"publisher","DOI":"10.1002\/fut.10072"},{"key":"R12","doi-asserted-by":"publisher","DOI":"10.21314\/JCF.2001.061"},{"key":"R13","doi-asserted-by":"publisher","DOI":"10.1002\/sapm193211183"},{"key":"R14","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/14.1.113"},{"key":"R15","doi-asserted-by":"publisher","DOI":"10.1016\/0005-1098(90)90083-T"},{"key":"R16","doi-asserted-by":"crossref","unstructured":"S. Shreve,\n                      Stochastic Calculus for Finance: Continuous Time Models\n                      , Springer, New York, 2004.","DOI":"10.1007\/978-0-387-22527-2"},{"key":"R17","unstructured":"G. Szeg\u00f6,\n                      Orthogonal Polynomials\n                      , Amer. Math. Soc. Colloq. Publ. 23, AMS, Providence, RI, 1959."},{"key":"R18","doi-asserted-by":"publisher","DOI":"10.1109\/72.935083"},{"key":"R19","doi-asserted-by":"publisher","DOI":"10.1016\/0005-1098(95)00198-0"},{"key":"R20","doi-asserted-by":"crossref","unstructured":"P. Wilmott, S. Howison, and J. Dewynne,\n                      The Mathematics of Financial Derivatives\n                      , Cambridge University Press, Cambridge, UK, 1995.","DOI":"10.1017\/CBO9780511812545"}],"container-title":["SIAM Journal on Financial Mathematics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/epubs.siam.org\/doi\/pdf\/10.1137\/100815566","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2026,8,21]],"date-time":"2026-08-21T13:45:56Z","timestamp":1787319956000},"score":1,"resource":{"primary":{"URL":"https:\/\/epubs.siam.org\/doi\/10.1137\/100815566"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2011,1]]},"references-count":20,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2011,1]]}},"alternative-id":["10.1137\/100815566"],"URL":"https:\/\/doi.org\/10.1137\/100815566","relation":{},"ISSN":["1945-497X"],"issn-type":[{"value":"1945-497X","type":"electronic"}],"subject":[],"published":{"date-parts":[[2011,1]]}}}