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Recursive lower and dual upper bounds for Bermudan-style options - MaRDI portal

Recursive lower and dual upper bounds for Bermudan-style options (Q2273928)

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Recursive lower and dual upper bounds for Bermudan-style options
scientific article

    Statements

    title
    Recursive lower and dual upper bounds for Bermudan-style options (English)
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    author
    Alfredo Ibáñez
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    Carlos Velasco
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    publication date
    18 September 2019
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    zbMATH Keywords
    finance
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    Bermudan/American options
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    optimal-stopping times
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    recursive lower/upper bounds
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    simulation and local least squares
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    cites work
    Q4328415
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    Q4433608
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    Identifiers

    zbMATH DE Number
    7106933
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    OpenAlex ID
    W3124282057
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    Wikidata QID
    Q127487825
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