An efficient algorithm for Bermudan barrier option pricing (Q1931135)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: An efficient algorithm for Bermudan barrier option pricing |
scientific article; zbMATH DE number 6129347
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An efficient algorithm for Bermudan barrier option pricing |
scientific article; zbMATH DE number 6129347 |
Statements
An efficient algorithm for Bermudan barrier option pricing (English)
0 references
24 January 2013
0 references
American barrier option
0 references
Fourier transforms
0 references
Fourier-cosine expansions
0 references
0 references
0 references
0 references
