Mathematics – Optimization and Control
Scientist
Mathematics
Optimization and Control
Scientist
A brief note on the soundness of Bermudan option pricing via cubature
Approximate Bermudan option pricing based on the réduite or cubature: soundness and characterisation of perpetual prices as fixed points
Continuity corrections for certain perpetual American and Bermudan options on multiple assets
Error bounds and convergence for American put option pricing based on translation-invariant Markov chains
Recent approaches to multidimensional Bermudan option pricing and the extrapolation to American option prices
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