On the primal-dual algorithm for callable Bermudan options
Maximilian L. Mair; Jan H. Maruhn
| Year of publication: |
2013
|
|---|---|
| Authors: | Mair, Maximilian L. ; Maruhn, Jan H. |
| Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 16.2013, 1, p. 79-110
|
| Subject: | Bermudan options | Dual bounds | Mixed exercise | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009729918