An Explicit Finite Difference Approach to the Pricing Problems of Perpetual Bermudan Options

Yoshifumi Muroi and Takashi Yamada

Asia-Pacific Financial Markets, 2008, vol. 15, issue 3, 229-253

Keywords: Perpetual Bermudan options; Optimal stopping problems; Explicit finite difference methods; Linear complementarity problem; PSOR algorithm; Linear programming methods; Interior point methods (search for similar items in EconPapers)
Date: 2008
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DOI: 10.1007/s10690-009-9080-x

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