Valuation of Multidimensional Bermudan Options

DOI10.1007/978-3-540-69179-2_14zbMath1307.91177OpenAlexW173031688MaRDI QIDQ3542263

Shifeng Huang, Mei-Hui Guo

Publication date: 1 December 2008

Published in: Applied Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-69179-2_14

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Dynamic Programming and Hedging Strategies in Discrete Time

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