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"The Stochastic Grid Bundling Method: Efficient pricing of Bermudan options ..."

Shashi Jain, Cornelis W. Oosterlee (2015)

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DOI: 10.1016/J.AMC.2015.07.085

access: closed

type: Journal Article

metadata version: 2020-10-26

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Shashi Jain, Cornelis W. Oosterlee:
The Stochastic Grid Bundling Method: Efficient pricing of Bermudan options and their Greeks. Appl. Math. Comput. 269: 412-431 (2015)

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