"Mixing LSMC and PDE Methods to Price Bermudan Options."

David Farahany, Kenneth R. Jackson, Sebastian Jaimungal (2020)

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DOI: 10.1137/19M1249035

access: closed

type: Journal Article

metadata version: 2020-05-22

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David Farahany, Kenneth R. Jackson, Sebastian Jaimungal:
Mixing LSMC and PDE Methods to Price Bermudan Options. SIAM J. Financial Math. 11(1): 201-239 (2020)

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