An explicit finite difference approach to the pricing problems of perpetual Bermudan options (Q842831)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An explicit finite difference approach to the pricing problems of perpetual Bermudan options |
scientific article |
Statements
An explicit finite difference approach to the pricing problems of perpetual Bermudan options (English)
0 references
25 September 2009
0 references
perpetual Bermudan options
0 references
optimal stopping problems
0 references
explicit finite difference methods
0 references
linear complementarity problem
0 references
PSOR algorithm
0 references
linear programming methods
0 references
interior point methods
0 references
