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A Series Solution for Bermudan Options - MaRDI portal

A Series Solution for Bermudan Options (Q3375370)

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A Series Solution for Bermudan Options
scientific article

    Statements

    title
    A Series Solution for Bermudan Options (English)
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    author
    Ingmar Evers
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    publication date
    8 March 2006
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    zbMATH Keywords
    Bermudan options
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    repeated integrals of the error function
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    backward induction
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    series solution
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    multi-asset options
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    Identifiers

    zbMATH DE Number
    5009959
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    OpenAlex ID
    W2034514417
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