Mixing LSMC and PDE Methods to Price Bermudan Options (Q5112723)
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scientific article; zbMATH DE number 7209454
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Mixing LSMC and PDE Methods to Price Bermudan Options |
scientific article; zbMATH DE number 7209454 |
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Mixing LSMC and PDE Methods to Price Bermudan Options (English)
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8 June 2020
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option pricing
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LSMC
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PDE
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multigrid methods
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