Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal (Q5001149)
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scientific article; zbMATH DE number 7372416
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal |
scientific article; zbMATH DE number 7372416 |
Statements
Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal (English)
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16 July 2021
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Bermudan option
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upper bounds
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Monte Carlo simulation
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