A dynamic programming approach for pricing options embedded in bonds

DOI10.1016/j.jedc.2006.06.007zbMath1163.91380OpenAlexW2015743153MaRDI QIDQ1027361

Hatem Ben-Ameur, Pierre L'Ecuyer, Michèle Breton, Lotfi Karoui

Publication date: 1 July 2009

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.301.5472

zbMATH Keywords

dynamic programmingoption pricingbond pricingoptions embedded in bonds

Mathematics Subject Classification ID

Applications of mathematical programming (90C90)

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