A new class of dual upper bounds for early exercisable derivatives encompassing both the additive and multiplicative bounds (Q1785438)
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scientific article; zbMATH DE number 6945416
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A new class of dual upper bounds for early exercisable derivatives encompassing both the additive and multiplicative bounds |
scientific article; zbMATH DE number 6945416 |
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A new class of dual upper bounds for early exercisable derivatives encompassing both the additive and multiplicative bounds (English)
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28 September 2018
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Bermudan option
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Monte Carlo simulation
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upper bound
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