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Efficient pricing of Bermudan options using recombining quadratures · Study

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ArticleEfficient pricing of Bermudan options using recombining quadratures

Hyuncheul Lim2014

OA

Articlebronze2014

Efficient pricing of Bermudan options using recombining quadratures

Hyuncheul Lim · Sung Chul Lee · Geon-Woo Kim

15 citations·0/0 files stored·Journal of Computational and Applied Mathematics

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Stochastic processes and financial applications Mathematical functions and polynomials Mathematical Approximation and Integration

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References

1979Option pricing: A simplified approach 1984The American Put Option Valued Analytically 1978Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis 2003Universal option valuation using quadrature methods 2007Implementing Models in Quantitative Finance: Methods and Cases 1992A Simple and Numerically Efficient Valuation Method for American Puts Using a Modified Geske-Johnson Approach 2000The American Put Option and Its Critical Stock Price 2006Compact finite difference method for American option pricing

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2010On modified Mellin transforms, Gauss–Laguerre quadrature, and the valuation of American call optionsarticle · 7 shared references 2001On the Robustness of Least-Squares Monte Carlo (Lsm) for Pricing American Derivativespreprint · 5 shared references 1996American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methodsarticle · 4 shared references 2003On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivativesarticle · 4 shared references 2005The saga of the American putarticle · 4 shared references 1997Recent Advances in Numerical Methods for Pricing Derivative Securitieschapter · 4 shared references

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Year2014

Typearticle

Published2014-04-15

VenueJournal of Computational and Applied Mathematics

ISSN-L0377-0427

Languageen

Citations15

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.cam.2014.04.007

openalex_workW2157059686

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