A Series Solution for Bermudan Options (Q3375370)
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scientific article; zbMATH DE number 5009959
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A Series Solution for Bermudan Options |
scientific article; zbMATH DE number 5009959 |
Statements
A Series Solution for Bermudan Options (English)
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8 March 2006
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Bermudan options
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repeated integrals of the error function
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backward induction
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series solution
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multi-asset options
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0.8263933062553406
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0.8024975061416626
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0.7895154356956482
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0.7882977724075317
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0.7793589234352112
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