A new class of dual upper bounds for early exercisable derivatives encompassing both the additive and multiplicative bounds
type: Item
instance of: scholarly article
title: A new class of dual upper bounds for early exercisable derivatives encompassing both the additive and multiplicative bounds
zbMATH Open document ID: 1408.91217
author: Mark Joshi
published in: Operations Research Letters
publication date: 2018-09-28T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65C05
zbMATH DE Number: 6945416
zbMATH Keywords: Bermudan option
zbMATH Keywords: Monte Carlo simulation
zbMATH Keywords: upper bound
MaRDI profile type: Publication
full work available at URL: j.orl.2015.09.002
OpenAlex ID: W3122769128
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DOI: 10.1016/J.ORL.2015.09.002
description: scientific article; zbMATH DE number 6945416