Efficient pricing of Bermudan options using recombining quadratures (Q2517493)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient pricing of Bermudan options using recombining quadratures |
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Efficient pricing of Bermudan options using recombining quadratures (English)
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26 August 2015
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option pricing
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Bermudan option
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recombining tree
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Fejér quadrature
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Clenshaw-Curtis quadrature
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