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A Numerical Method for Hedging Bermudan Options under Model Uncertainty

Crossref DOI link: https://doi.org/10.1007/s11009-021-09901-6

Published Online: 2021-11-22

Published Print: 2022-06

Update policy: https://doi.org/10.1007/springer_crossmark_policy

Authors

Imai, Junichi https://orcid.org/0000-0002-2020-0777
Funding

Funding for this research was provided by:

Japan Society for the Promotion of Science (YYKKB09)
License Information

Text and Data Mining valid from 2021-11-22

Version of Record valid from 2021-11-22
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Article History

Received: 25 January 2021

Revised: 17 August 2021

Accepted: 20 September 2021

First Online: 22 November 2021