Pricing high-dimensional Bermudan options using the stochastic grid method

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

20 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

@article{53a82d19a5d143fcbb7ee8dd875fcbf4,

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

keywords = "academic journal papers, CWTS JFIS < 0.75",

author = "S Jain and CW Oosterlee",

year = "2012",

doi = "10.1080/00207160.2012.690035",

language = "English",

volume = "89",

pages = "1186--1211",

journal = "International Journal of Computer Mathematics",

issn = "0020-7160",

publisher = "Taylor and Francis",

number = "9",

}

TY - JOUR

T1 - Pricing high-dimensional Bermudan options using the stochastic grid method

AU - Jain, S

AU - Oosterlee, CW

PY - 2012

Y1 - 2012

KW - academic journal papers

KW - CWTS JFIS < 0.75

U2 - 10.1080/00207160.2012.690035

DO - 10.1080/00207160.2012.690035

M3 - Article

SN - 0020-7160

VL - 89

SP - 1186

EP - 1211

JO - International Journal of Computer Mathematics

JF - International Journal of Computer Mathematics

IS - 9

ER -