An efficient algorithm for Bermudan barrier option pricing

DOI10.1007/s11766-012-2516-5zbMath1265.62035OpenAlexW2023205379MaRDI QIDQ1931135

Deng Ding, Jingya Zhao, Ningying Huang

Publication date: 24 January 2013

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-012-2516-5

zbMATH Keywords

Fourier transformsFourier-cosine expansionsAmerican barrier option

Mathematics Subject Classification ID

Related Items (1)

Circulant preconditioning technique for barrier options pricing under fractional diffusion models

Cites Work

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