An explicit finite difference approach to the pricing problems of perpetual Bermudan options
type: Item
instance of: scholarly article
title: An explicit finite difference approach to the pricing problems of perpetual Bermudan options
zbMATH Open document ID: 1170.91344
author: Yoshifumi Muroi
author: Takashi Yamada
published in: Asia-Pacific Financial Markets
publication date: 2009-09-25T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 90C90
zbMATH DE Number: 5607581
zbMATH Keywords: perpetual Bermudan options
zbMATH Keywords: optimal stopping problems
zbMATH Keywords: explicit finite difference methods
zbMATH Keywords: linear complementarity problem
zbMATH Keywords: PSOR algorithm
zbMATH Keywords: linear programming methods
zbMATH Keywords: interior point methods
MaRDI profile type: Publication
full work available at URL: s10690-009-9080-x
OpenAlex ID: W2052470928
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DOI: 10.1007/S10690-009-9080-X
description: scientific article; zbMATH DE number 5607581