On the analytical–numerical valuation of the Bermudan and American options (Q5189715)
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scientific article; zbMATH DE number 5680126
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the analytical–numerical valuation of the Bermudan and American options |
scientific article; zbMATH DE number 5680126 |
Statements
On the analytical–numerical valuation of the Bermudan and American options (English)
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11 March 2010
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Bermudan option
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American option
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dynamic programming
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multivariate integration
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Richardson extrapolation
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exponential smoothing
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