Upper Bounds for Bermudan Style Derivatives

DOI10.1515/mcma.2004.10.3-4.331zbMath1096.91027OpenAlexW2041044563MaRDI QIDQ4655057

Anastasia Kolodko, John G. M. Schoenmakers

Publication date: 10 March 2005

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma.2004.10.3-4.331

zbMATH Keywords

Monte CarloBermudan optionsduality approachLIBOR models

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05)

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