The Stochastic Grid Bundling Method: Efficient pricing of...

Applied Mathematics and Computation 2015 / 10 Vol. 269

The Stochastic Grid Bundling Method: Efficient pricing of Bermudan options and their Greeks

Jain, Shashi, Oosterlee, Cornelis W.
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Volume:
269
Language:
english
Journal:
Applied Mathematics and Computation
DOI:
10.1016/j.amc.2015.07.085
Date:
October, 2015
File:
PDF, 1.32 MB
english, 2015
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