An efficient algorithm for Bermudan barrier option pricing

Applied Mathematics-A Journal of Chinese Universities 2012 / 03 Vol. 27; Iss. 1

An efficient algorithm for Bermudan barrier option pricing

Deng Ding, Ning-ying Huang, Jing-ya Zhao
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Volume:
27
Language:
english
Pages:
10
DOI:
10.1007/s11766-012-2516-5
Date:
March, 2012
File:
PDF, 191 KB
english, 2012
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