A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS

DOI10.1111/j.0960-1627.2005.00213.xzbMath1127.91023OpenAlexW2087197119MaRDI QIDQ5464338

Jacques Printems, Gilles Pagès, Vlad Bally

Publication date: 17 August 2005

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.0960-1627.2005.00213.x

zbMATH Keywords

hedging strategyBermuda option

Mathematics Subject Classification ID

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