"Efficient pricing of Bermudan options using recombining quadratures."

Hyuncheul Lim, Sungchul Lee, Geon Woo Kim (2014)

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DOI: 10.1016/J.CAM.2014.04.007

access: open

type: Journal Article

metadata version: 2021-02-16

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Hyuncheul Lim, Sungchul Lee, Geon Woo Kim:
Efficient pricing of Bermudan options using recombining quadratures. J. Comput. Appl. Math. 271: 195-205 (2014)

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