Numerical solution of an integral equation for perpetual Bermudan options (Q2921908): Difference between revisions
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| Property / cites work: The Pricing of Options and Corporate Liabilities / rank | |||
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| Property / cites work: Collocation Methods for Volterra Integral and Related Functional Differential Equations / rank | |||
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| Property / cites work: The early exercise region for Bermudan options on two underlyings / rank | |||
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| Property / cites work: Pricing of perpetual American and Bermudan options by binomial tree method / rank | |||
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| Property / cites work: Q4359470 / rank | |||
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| Property / cites work: An explicit finite difference approach to the pricing problems of perpetual Bermudan options / rank | |||
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Latest revision as of 04:31, 9 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical solution of an integral equation for perpetual Bermudan options |
scientific article |
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Numerical solution of an integral equation for perpetual Bermudan options (English)
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14 October 2014
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Bermudan options
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integral equations
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Green's functions
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Wiener-Hopf problems
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