We consider the problem of pricing an American contingent claim whose payoff depends on
several sources of uncertainty. Several efficient numerical lattice-based techniques exist for
pricing American securities depending on one or few (up to three) risk sources. However,
these methods cannot be used for high dimensional problems, since their memory
requirement is exponential in the number of risk sources. We present an efficient numerical
technique that combines Monte Carlo simulation with a particular partitioning method of the …

We consider the problem of pricing an American contingent claim whose payoff depends on
several sources of uncertainty. Several efficient numerical lattice-based techniques exist for
pricing American securities depending on one or few (up to three) risk sources. However,
these methods cannot be used for high dimensional problems, since their memory
requirement is exponential in the number of risk sources. We present an efficient numerical
technique that combines Monte Carlo simulation with a particular partitioning method of the …