Optimal dual martingales, their analysis, and application to new algorithms for Bermudan products (Q2873120)
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scientific article; zbMATH DE number 6249455
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal dual martingales, their analysis, and application to new algorithms for Bermudan products |
scientific article; zbMATH DE number 6249455 |
Statements
23 January 2014
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Bermudan options
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duality
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Monte Carlo simulation
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linear regression
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surely optimal martingales
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backward algorithm
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Optimal dual martingales, their analysis, and application to new algorithms for Bermudan products (English)
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