Quantization-based Bermudan option pricing in the $FX$ world (Q6329093)

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scientific article; zbMATH DE number 900503135
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Quantization-based Bermudan option pricing in the $FX$ world
scientific article; zbMATH DE number 900503135

    Statements

    publication date
    13 November 2019
    0 references
    arXiv ID
    1911.05462
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    arXiv classification
    q-fin.CP
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    math.PR
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    author
    Jean-Michel Fayolle
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    Vincent Lemaire
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    Thibaut Montes
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    Gilles Pagès
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    DOI
    10.21314/JCF.2021.008
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