Work

Quantization-based Bermudan option pricing in the foreign exchange world

Year: 2021

Type: article

Source: The Journal of Computational Finance

DOI: 10.21314/jcf.2021.008

Authors: Jean-Michel Fayolle, Vincent Lemaire, Thibaut Montes

Institutions: Sorbonne Université, Laboratoire de Probabilités, Statistique et Modélisation

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W3196430649

FWCI: 0.206

Cites: 28

Cited by: 1

Related to: 10