A Series Solution for Bermudan Options
Year of publication: |
2005
|
---|---|
Authors: | Evers, Ingmar |
Published in: |
Applied Mathematical Finance. - Taylor & Francis Journals, ISSN 1350-486X. - Vol. 12.2005, 4, p. 337-349
|
Publisher: |
Taylor & Francis Journals |
Subject: | Bermudan options | Repeated integrals of the error function | Backward induction | Series solution | Multi-asset options |
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