Mixing LSMC and PDE Methods to Price Bermudan Options
Farahany, David, Jackson, Kenneth R., Jaimungal, SebastianТом:
11
Журнал:
SIAM Journal on Financial Mathematics
DOI:
10.1137/19M1249035
Date:
January, 2020
Файл:
PDF, 2.13 MB
2020