A simple and efficient numerical method for pricing discretely monitored early-exercise options

DOI10.1016/j.amc.2022.126985OpenAlexW4226252450MaRDI QIDQ2113697

Yanyan Li

Publication date: 14 March 2022

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1905.13407

zbMATH Keywords

quadrature methodBermudan optionautocallable structured productdiscrete option pricingsingle and double barrier option

Mathematics Subject Classification ID

Stochastic analysis (60Hxx) Actuarial science and mathematical finance (91Gxx) Stochastic processes (60Gxx)

Cites Work

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