A new class of dual upper bounds for early exercisable derivatives encompassing both the additive and multiplicative bounds

DOI10.1016/j.orl.2015.09.002zbMath1408.91217OpenAlexW3122769128MaRDI QIDQ1785438

Mark S. Joshi

Publication date: 28 September 2018

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2015.09.002

zbMATH Keywords

upper boundMonte Carlo simulationBermudan option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

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