Quantization-based Bermudan option pricing in the foreign exchange world - Archive ouverte HAL Access content directly
Journal Articles The Journal of Computational Finance Year : 2021

Quantization-based Bermudan option pricing in the foreign exchange world

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1
Jean-Michel Fayolle
  • Function : Author
Vincent Lemaire
  • Function : Author
Thibaut Montes
  • Function : Author

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hal-03891143 , version 1 (09-12-2022)

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Jean-Michel Fayolle, Vincent Lemaire, Thibaut Montes, Gilles Pagès. Quantization-based Bermudan option pricing in the foreign exchange world. The Journal of Computational Finance, 2021, ⟨10.21314/JCF.2021.008⟩. ⟨hal-03891143⟩
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