A simple iteration algorithm to price perpetual Bermudan options under the lognormal jump-diffusion-ruin process
Year of publication: |
2018
|
---|---|
Authors: | Chung, San-Lin ; Wang, Jr-Yan |
Published in: |
Journal of Futures Markets. - Wiley, ISSN 0270-7314, ZDB-ID 2002201-3. - Vol. 38.2018, 8 (26.03.), p. 898-924
|
Publisher: |
Wiley |
Saved in:
Online Resource
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