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Jean-Michel Fayolle, Vincent Lemaire, Thibaut Montes, Gilles Pagès

Public reference bibliography and cataloged PDF materials authored or published by Jean-Michel Fayolle, Vincent Lemaire, Thibaut Montes, Gilles Pagès.

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Quantization-based Bermudan option pricing in the FX world

Year: 2020 • Source: hal.science • Listed PDF

This paper proposes two numerical solution based on Product Optimal Quan-tization for the pricing of Foreign Echange (FX) linked long term Bermudan options e.g. Bermudan Power Reverse Dual Currency options, where we take...