An Algorithm for Simulating Bermudan Option Prices on Simulated Asset Prices

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Abstract

Udgivelsesdato: Summer

@article{93432f406ba211dc8424000ea68e967b,

title = "An Algorithm for Simulating Bermudan Option Prices on Simulated Asset Prices",

abstract = "Udgivelsesdato: Summer",

keywords = "udenforomr{\aa}de",

author = "\{Norske Huge\}, Brian and Niels Rom-Poulsen",

year = "2007",

language = "English",

volume = "14",

pages = "64--85",

journal = "Journal of Derivatives",

issn = "1074-1240",

publisher = "Portfolio Management Research",

number = "4",

}