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TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO - MaRDI portal

TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO (Q3608735)

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TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO
scientific article

    Statements

    title
    TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO (English)
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    author
    Denis Belomestny
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    Christian Bender
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    publication date
    6 March 2009
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    zbMATH Keywords
    early exercise options
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    Monte Carlo simulation
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    linear regression
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    Identifiers

    zbMATH DE Number
    5523711
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    OpenAlex ID
    W2339568487
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