Pricing Bermudan options under Merton jump-diffusion asset dynamics (Q2804498)
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scientific article; zbMATH DE number 6575427
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| English | Pricing Bermudan options under Merton jump-diffusion asset dynamics |
scientific article; zbMATH DE number 6575427 |
Statements
Pricing Bermudan options under Merton jump-diffusion asset dynamics (English)
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29 April 2016
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Monte Carlo simulation
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least-squares regression
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jump-diffusion process
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Bermudan option
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high-dimensional problem
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0.8362893462181091
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0.7999165654182434
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0.7853186726570129
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0.7795253992080688
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