Efficient pricing of Bermudan options using recombining quadratures
Author:
Funder
National Research Foundation of Korea (NRF)
Publisher
Elsevier BV
Subject
Applied Mathematics,Computational Mathematics
Reference19 articles.
1. The American put option valued analytically;Geske;J. Financ.,1984
2. A simple and numerically efficient valuation method for American puts using a modified Geske–Johnson approach;Bunch;J. Financ.,1992
3. The American put option and its critical stock price;Bunch;J. Financ.,2000
4. Finite difference methods and jump processes arising in the pricing of contingent claims: A synthesis;Brennan;J. Financ. Quant. Anal.,1978
5. Compact finite difference method for American option pricing;Zhao;J. Comput. Appl. Math.,2007
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