Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
type: Item
instance of: scholarly article
title: Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
zbMATH Open document ID: 1402.91893
publication date: 2018-11-01T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 6970316
zbMATH Keywords: LIBOR market model
zbMATH Keywords: Bermudan options
zbMATH Keywords: callability
zbMATH Keywords: Monte Carlo
zbMATH Keywords: early exercise
zbMATH Keywords: upper bounds
author: Mark Joshi
author: Robert L. Tang
MaRDI profile type: Publication
full work available at URL: j.jedc.2013.12.001
OpenAlex ID: W3125254289
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DOI: 10.1016/J.JEDC.2013.12.001
published in: Journal of Economic Dynamics and Control
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description: scientific article; zbMATH DE number 6970316