An Algorithm for Simulating Bermudan Option Prices on Simulated Asset Prices

Brian Norske Huge, Niels Rom-Poulsen

Research output: Contribution to journalJournal articleResearchpeer-review

Abstract

Udgivelsesdato: Summer
Original languageEnglish
JournalJournal of Derivatives
Volume14
Issue number4
Pages (from-to)64-85
Number of pages22
ISSN1074-1240
Publication statusPublished - 2007

Cite this

Norske Huge, Brian ; Rom-Poulsen, Niels. / An Algorithm for Simulating Bermudan Option Prices on Simulated Asset Prices. In: Journal of Derivatives. 2007 ; Vol. 14, No. 4. pp. 64-85.
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Norske Huge, B & Rom-Poulsen, N 2007, 'An Algorithm for Simulating Bermudan Option Prices on Simulated Asset Prices', Journal of Derivatives, vol. 14, no. 4, pp. 64-85.

An Algorithm for Simulating Bermudan Option Prices on Simulated Asset Prices. / Norske Huge, Brian; Rom-Poulsen, Niels.

In: Journal of Derivatives, Vol. 14, No. 4, 2007, p. 64-85.

Research output: Contribution to journalJournal articleResearchpeer-review

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T1 - An Algorithm for Simulating Bermudan Option Prices on Simulated Asset Prices

AU - Norske Huge, Brian

AU - Rom-Poulsen, Niels

PY - 2007

Y1 - 2007

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AB - Udgivelsesdato: Summer

KW - udenforområde

M3 - Journal article

VL - 14

SP - 64

EP - 85

JO - Journal of Derivatives

JF - Journal of Derivatives

SN - 1074-1240

IS - 4

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