Optimal exercise frontier of Bermudan options by simulation methods
Dejun Xie, David A. Edwards and Xiaoxia Wu
| Year of publication: |
2022
|
|---|---|
| Authors: | Xie, Dejun ; Edwards, David A. ; Wu, Xiaoxia |
| Subject: | antithetic branching | Bermudan options | exercise boundary | Heston model | Simulation | stochastic interest rate | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading | Zins | Interest rate | Monte-Carlo-Simulation | Monte Carlo simulation |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S242478632250013X [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013367611