Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes (Q4619493)
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scientific article; zbMATH DE number 7013613
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes |
scientific article; zbMATH DE number 7013613 |
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Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes (English)
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6 February 2019
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Bermudan option
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jump-diffusion processes
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optimal dual martingale
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martingale property
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Monte Carlo simulation
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