Pricing high-dimensional Bermudan options using the stochastic grid method

Shashi Jain, Cornelis W. Oosterlee. Pricing high-dimensional Bermudan options using the stochastic grid method. Int. J. Comput. Math., 89(9):1186-1211, 2012. [doi]

Authors

Shashi Jain

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Cornelis W. Oosterlee

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