An efficient algorithm for Bermudan barrier option pricing (Q1931135)

From MaRDI portal
Revision as of 03:51, 6 July 2024 by ReferenceBot (talk | contribs) (‎Changed an Item)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)
scientific article
Language Label Description Also known as
English
An efficient algorithm for Bermudan barrier option pricing
scientific article

    Statements

    title
    An efficient algorithm for Bermudan barrier option pricing (English)
    0 references
    author
    Deng Ding
    0 references
    Ningying Huang
    0 references
    Jingya Zhao
    0 references
    publication date
    24 January 2013
    0 references
    zbMATH Keywords
    American barrier option
    0 references
    Fourier transforms
    0 references
    Fourier-cosine expansions
    0 references

    Identifiers

    Mathematics Subject Classification ID
    62P05
    0 references
    91B25
    0 references
    91G20
    0 references
    42A10
    0 references
    65T50
    0 references
    65C60
    0 references
    zbMATH DE Number
    6129347
    0 references
    OpenAlex ID
    W2023205379
    0 references
     
    Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Item:Q1931135&oldid=35319071"
    Powered by MediaWiki