An explicit finite difference approach to the pricing problems of perpetual Bermudan options (Q842831)
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scientific article; zbMATH DE number 5607581
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| English | An explicit finite difference approach to the pricing problems of perpetual Bermudan options |
scientific article; zbMATH DE number 5607581 |
Statements
An explicit finite difference approach to the pricing problems of perpetual Bermudan options (English)
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25 September 2009
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perpetual Bermudan options
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optimal stopping problems
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explicit finite difference methods
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linear complementarity problem
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PSOR algorithm
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linear programming methods
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interior point methods
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0.8535251021385193
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0.8256751298904419
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0.8118947148323059
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0.804060697555542
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0.7895154356956482
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