An Explicit Finite Difference Approach to the Pricing Problems of Perpetual Bermudan Options
| Year of publication: |
2008
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|---|---|
| Authors: | Muroi, Yoshifumi ; Yamada, Takashi |
| Published in: |
Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 15.2008, 3, p. 229-253
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| Publisher: |
Springer |
| Subject: | Perpetual Bermudan options | Optimal stopping problems | Explicit finite difference methods | Linear complementarity problem | PSOR algorithm | Linear programming methods | Interior point methods |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005727094