"Pricing high-dimensional Bermudan options using the stochastic grid method."

Shashi Jain, Cornelis W. Oosterlee (2012)

Details and statistics

DOI: 10.1080/00207160.2012.690035

access: closed

type: Journal Article

metadata version: 2020-10-26

a service of  Schloss Dagstuhl - Leibniz Center for Informatics