Nearest Neighbor Based Estimation Technique for Pricing Bermudan Options (Q5245032)
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scientific article; zbMATH DE number 6422294
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Nearest Neighbor Based Estimation Technique for Pricing Bermudan Options |
scientific article; zbMATH DE number 6422294 |
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Nearest Neighbor Based Estimation Technique for Pricing Bermudan Options (English)
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1 April 2015
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Bermudan option
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dynamic programming
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nearest neighbor estimation
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Hoeffding's inequality
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