Pages that link to "Item:Q5310693"
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The following pages link to A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options (Q5310693):
Displaying 10 items.
- Multilevel dual approach for pricing American style derivatives (Q377450) (← links)
- A new class of dual upper bounds for early exercisable derivatives encompassing both the additive and multiplicative bounds (Q1785438) (← links)
- Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies (Q1994388) (← links)
- Bermudan option in Singapore savings bonds (Q2036855) (← links)
- Recursive lower and dual upper bounds for Bermudan-style options (Q2273928) (← links)
- Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions (Q3005816) (← links)
- Simple improvement method for upper bound of American option (Q3108374) (← links)
- Improved lower and upper bound algorithms for pricing American options by simulation (Q3605244) (← links)
- Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal (Q5001149) (← links)
- Upper bounds for Bermudan options on Markovian data using nonparametric regression and a reduced number of nested Monte Carlo steps (Q5191261) (← links)
