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

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