Pricing formula of perpetual Bermudan option (Q3402664)
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scientific article; zbMATH DE number 5669752
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| English | Pricing formula of perpetual Bermudan option |
scientific article; zbMATH DE number 5669752 |
Statements
12 February 2010
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partial differential equation
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perpetual Bermudan option
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optimal exercise boundary
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0.8725616335868835
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0.8671292662620544
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0.8535251021385193
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0.8263933062553406
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0.8255653381347656
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