"Pricing Bermudan options under Merton jump-diffusion asset dynamics."

Fei Cong, Cornelis W. Oosterlee (2015)

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DOI: 10.1080/00207160.2015.1070838

access: closed

type: Journal Article

metadata version: 2023-05-31

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Fei Cong, Cornelis W. Oosterlee:
Pricing Bermudan options under Merton jump-diffusion asset dynamics. Int. J. Comput. Math. 92(12): 2406-2432 (2015)

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