Quantization-based Bermudan option pricing in the foreign exchange world
Jean-Michel Fayolle, Vincent Lemaire, Thibaut Montes and Gilles Pagès
| Year of publication: |
2021
|
|---|---|
| Authors: | Fayolle, Jean-Michel ; Lemaire, Vincent ; Montes, Thibaut ; Pagès, Gilles |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 25.2021, 2, p. 87-128
|
| Subject: | foreign exchange rates | Bermudan options | numerical method | power reverse dual currency | product optimal quantization | Optionspreistheorie | Option pricing theory | Wechselkurs | Exchange rate | Währungsderivat | Currency derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2021.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012938894