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Numerical solution of an integral equation for perpetual Bermudan options (Q2921908)

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scientific article; zbMATH DE number 6355123
Language Label Description Also known as
English
Numerical solution of an integral equation for perpetual Bermudan options
scientific article; zbMATH DE number 6355123

    Statements

    title
    Numerical solution of an integral equation for perpetual Bermudan options (English)
    0 references
    author
    G. Alobaidi
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    Sattar Mansi
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    R. Mallier
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    publication date
    14 October 2014
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    zbMATH Keywords
    Bermudan options
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    integral equations
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    Green's functions
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    Wiener-Hopf problems
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    Identifiers

    Mathematics Subject Classification ID
    91G60
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    91G20
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    65D30
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    65M80
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    zbMATH DE Number
    6355123
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    OpenAlex ID
    W1995793258
    0 references
     
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