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An efficient algorithm for Bermudan barrier option pricing Journal article
DING Deng, HUANG Ning-ying, ZHAO Jing-ya. An efficient algorithm for Bermudan barrier option pricing[J]. Applied Mathematics-A Journal of Chinese Universities Series B, 2012, 27(1), 49-58.
Authors:  DING Deng;  HUANG Ning-ying;  ZHAO Jing-ya
Favorite | TC[WOS]:2 TC[Scopus]:1  IF:1.2/0.8 | Submit date：2019/05/22
American Barrier Option  Bermudan Option  Fourier Transform  Fourier-cosine Expansion