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Numerical valuation of Bermudan basket options via partial differential equations

Karel J. in 't Hout and Jacob Snoeijer
International Journal of Computer Mathematics 1 (2020)
DOI: 10.1080/00207160.2020.1786542
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Efficient exposure computation by risk factor decomposition

C. S. L. de Graaf, D. Kandhai and C. Reisinger
Quantitative Finance 18 (10) 1657 (2018)
DOI: 10.1080/14697688.2018.1435902
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