A simple and efficient numerical method for pricing discretely monitored early-exercise options
DOI10.1016/J.AMC.2022.126985OpenAlexW4226252450MaRDI QIDQ2113697FDOQ2113697
Publication date: 14 March 2022
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1905.13407
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Actuarial science and mathematical finance (91Gxx) Stochastic analysis (60Hxx) Stochastic processes (60Gxx)
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- The optimal method for pricing Bermudan options by simulation
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