Showing 1 - 10 of 73
Persistent link: https://www.econbiz.de/10010462677
Persistent link: https://www.econbiz.de/10011699101
Persistent link: https://www.econbiz.de/10012597927
Persistent link: https://www.econbiz.de/10012215741
Persistent link: https://www.econbiz.de/10012134893
Persistent link: https://www.econbiz.de/10011791952
Persistent link: https://www.econbiz.de/10012514043
Persistent link: https://www.econbiz.de/10012386778
Persistent link: https://www.econbiz.de/10012016203
This paper develops integral equation methods to the pricing problems of perpetual Bermudan options. By mathematical derivation, the optimal exercise boundary of perpetual Bermudan options can be determined by an integral-form nonlinear equation which can be solved by a root-finding algorithm....
Persistent link: https://www.econbiz.de/10009565380