Optimal exercise frontier of Bermudan options by simulation methods
Dejun Xie, David A. Edwards and Xiaoxia Wu
| Year of publication: |
2022
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|---|---|
| Authors: | Xie, Dejun ; Edwards, David A. ; Wu, Xiaoxia |
| Published in: |
International journal of financial engineering. - Singapore [u.a.] : World Scientific, ISSN 2424-7944, ZDB-ID 2832512-6. - Vol. 9.2022, 3, Art.-No. 2250013, p. 2250013-1-2250013-20
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| 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 |
| 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