Pricing high-dimensional Bermudan options using the stochastic grid method
Journal Article
(2012)
Author(s)
Shashi Jain (TU Delft - Numerical Analysis)
Kees Oosterlee (TU Delft - Numerical Analysis)
Research Group
Numerical Analysis
DOI related publication
https://doi.org/10.1080/00207160.2012.690035
To reference this document use:
https://resolver.tudelft.nl/uuid:53a82d19-a5d1-43fc-bb7e-e8dd875fcbf4
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Publication Year
2012
Language
English
Research Group
Numerical Analysis
Issue number
9
Volume number
89
Pages (from-to)
1186-1211
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