Mixing LSMC and PDE Methods to Price Bermudan Options

SIAM Journal on Financial Mathematics 2020 / 01 Vol. 11; Iss. 1

Mixing LSMC and PDE Methods to Price Bermudan Options

Farahany, David, Jackson, Kenneth R., Jaimungal, Sebastian
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Volume:
11
Journal:
SIAM Journal on Financial Mathematics
DOI:
10.1137/19M1249035
Date:
January, 2020
File:
PDF, 2.13 MB
2020
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