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Dual Valuation and Hedging of Bermudan Options - MaRDI portal

Dual Valuation and Hedging of Bermudan Options (Q3580040)

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scientific article
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English
Dual Valuation and Hedging of Bermudan Options
scientific article

    Statements

    title
    Dual Valuation and Hedging of Bermudan Options (English)
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    author
    L. C. G. Rogers
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    publication date
    11 August 2010
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    zbMATH Keywords
    optimal stopping
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    dual valuation
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    Bermudan option
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    hedging
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    Identifiers

    DOI
    10.1137/090772198
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    Mathematics Subject Classification ID
    91G20
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    91G40
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    62L15
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    60G40
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    zbMATH DE Number
    5769052
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    OpenAlex ID
    W2089124841
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