AN ALGORITHM FOR SIMULATING BERMUDAN OPTION PRICES ON SIMULATED ASSET PRICES
| Year of publication: |
2007
|
|---|---|
| Authors: | Huge, Brian Norsk ; Rom-Poulsen, Niels |
| Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Institutional Investor, ISSN 1074-1240, ZDB-ID 11690045. - Vol. 14.2007, 4, p. 64-85
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