Pricing high-dimensional Bermudan options using the stochastic grid method

S Jain, CW Oosterlee

Research output: Contribution to journal › Article › Scientific › peer-review

21 Citations (Scopus)

Original language	English
Pages (from-to)	1186-1211
Number of pages	26
Journal	International Journal of Computer Mathematics
Volume	89
Issue number	9
DOIs	https://doi.org/10.1080/00207160.2012.690035
Publication status	Published - 2012

Keywords

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title = "Pricing high-dimensional Bermudan options using the stochastic grid method",

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AU - Oosterlee, CW

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