A Series Solution for Bermudan Options

DOI10.1080/13504860500080263zbMath1134.91416OpenAlexW2034514417MaRDI QIDQ3375370

Ingmar Evers

Publication date: 8 March 2006

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860500080263

zbMATH Keywords

series solutionbackward inductionmulti-asset optionsBermudan optionsrepeated integrals of the error function

Mathematics Subject Classification ID

Cites Work

• Applications of Eigenfunction Expansions in Continuous-Time Finance
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• Option pricing: A simplified approach
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