Sensitivities for Bermudan options by regression methods (Q604677)
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scientific article; zbMATH DE number 5815434
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Sensitivities for Bermudan options by regression methods |
scientific article; zbMATH DE number 5815434 |
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Sensitivities for Bermudan options by regression methods (English)
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12 November 2010
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American and Bermudan options
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optimal stopping times
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Monte Carlo simulation
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deltas
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conditional probabilistic representations
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regression methods
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