Iterative construction of the optimal Bermudan stopping time
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Publication:2488505
DOI10.1007/s00780-005-0168-5zbMath1090.62088OpenAlexW2017684264MaRDI QIDQ2488505
Anastasia Kolodko, John G. M. Schoenmakers
Publication date: 24 May 2006
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-005-0168-5
Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Optimal stopping in statistics (62L15)
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