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]
@article{JainO12,
title = {Pricing high-dimensional Bermudan options using the stochastic grid method},
author = {Shashi Jain and Cornelis W. Oosterlee},
year = {2012},
doi = {10.1080/00207160.2012.690035},
url = {http://dx.doi.org/10.1080/00207160.2012.690035},
researchr = {https://researchr.org/publication/JainO12},
cites = {0},
citedby = {0},
journal = {Int. J. Comput. Math.},
volume = {89},
number = {9},
pages = {1186-1211},
}