Pricing Bermudan options using low-discrepancy mesh methods

Quantitative Finance 2013 / 06 Vol. 13; Iss. 6

Pricing Bermudan options using low-discrepancy mesh methods

BOYLE, PHELIM P., KOLKIEWICZ, ADAM W., TAN, KEN SENG
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Volume:
13
Language:
english
Journal:
Quantitative Finance
DOI:
10.1080/14697688.2013.776699
Date:
June, 2013
File:
PDF, 535 KB
english, 2013
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