Pages that link to "Item:Q2273928"
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The following pages link to Recursive lower and dual upper bounds for Bermudan-style options (Q2273928):
Displaying 8 items.
- A new class of dual upper bounds for early exercisable derivatives encompassing both the additive and multiplicative bounds (Q1785438) (← links)
- Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation (Q1994265) (← links)
- Generic improvements to least squares Monte Carlo methods with applications to optimal stopping problems (Q2076899) (← links)
- Optimal dual martingales, their analysis, and application to new algorithms for Bermudan products (Q2873120) (← links)
- TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO (Q3608735) (← links)
- Upper bounds for Bermudan options on Markovian data using nonparametric regression and a reduced number of nested Monte Carlo steps (Q5191261) (← links)
- A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options (Q5310693) (← links)
- The price of the Bermudan option: A simple, explicit formula (Q6106259) (← links)
