Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes

DOI10.1080/14697688.2014.971520zbMath1406.91461arXiv1305.4321OpenAlexW2040838698MaRDI QIDQ4619493

Helin Zhu, Fan Ye, Enlu Zhou

Publication date: 6 February 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1305.4321

zbMATH Keywords

Monte Carlo simulationjump-diffusion processesmartingale propertyBermudan optionoptimal dual martingale

Mathematics Subject Classification ID

Cites Work

• Unnamed Item
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