Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies (Q1994388)
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scientific article; zbMATH DE number 6970316
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies |
scientific article; zbMATH DE number 6970316 |
Statements
Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies (English)
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1 November 2018
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LIBOR market model
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Bermudan options
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callability
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Monte Carlo
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early exercise
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upper bounds
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0.8689895
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0.86838484
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0.8654794
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0.8574384
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0.8573805
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0.85556453
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