Pricing high-dimensional Bermudan options using the stochastic grid method

S Jain, CW Oosterlee

Research output: Contribution to journalArticleScientificpeer-review

13 Citations (Scopus)
Original languageEnglish
Pages (from-to)1186-1211
Number of pages26
JournalInternational Journal of Computer Mathematics
Volume89
Issue number9
DOIs
Publication statusPublished - 2012

Keywords

  • academic journal papers
  • CWTS JFIS < 0.75

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