A Series Solution for Bermudan Options
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Publication:3375370
backward inductionBermudan optionsmulti-asset optionsrepeated integrals of the error functionseries solution
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Cites work
- Applications of eigenfunction expansions in continuous-time finance
- scientific article; zbMATH DE number 3863589 (Why is no real title available?)
- scientific article; zbMATH DE number 3905045 (Why is no real title available?)
- scientific article; zbMATH DE number 3979513 (Why is no real title available?)
- scientific article; zbMATH DE number 1999206 (Why is no real title available?)
- Option pricing: A simplified approach
- Valuing American options by simulation: a simple least-squares approach
Cited in
(6)- Bermudan options pricing formulas in uncertain financial markets
- Numerical solution of an integral equation for perpetual Bermudan options
- Pricing formula of perpetual Bermudan option
- On the analytical-numerical valuation of the Bermudan and American options
- A perturbative approach to Bermudan options pricing with applications
- An explicit finite difference approach to the pricing problems of perpetual Bermudan options
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