A simple recursive numerical method for Bermudan option pricing under Lévy processes

By Conall O’Sullivan. 2006

659 citations recorded by the source corpus.

Subfields: Numerical Methods & Scientific Computing, Economics & Operations Research

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Numerical Methods & Scientific Computing

1. Andrew Knox
2. Paul Groth
3. Yu-Chin Chan
4. Ping Zhu
5. Wei Chen
6. Zhihua Cai
7. Rada Mihalcea
8. Juergen Gall

In Economics & Operations Research

1. Andrew Knox
2. Paul Groth
3. Zhihua Cai
4. Rada Mihalcea
5. Juergen Gall
6. Samer Hassan
7. Andrew Gibson
8. Zheng Ge

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