The optimal method for pricing Bermudan options by simulation (Q4962465)
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scientific article; zbMATH DE number 6971522
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The optimal method for pricing Bermudan options by simulation |
scientific article; zbMATH DE number 6971522 |
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The optimal method for pricing Bermudan options by simulation (English)
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2 November 2018
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American and Bermudan options
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local least-squares
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optimal stopping-times
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optimization
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simulation
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