Optimal dual martingales, their analysis, and application to new algorithms for Bermudan products
type: Item
instance of: scholarly article
zbMATH Open document ID: 1282.91346
DOI: 10.1137/110832513
author: Jianing Zhang
author: Junbo Huang
author: John Schoenmakers
published in: SIAM Journal on Financial Mathematics
publication date: 2014-01-23T00:00:00Z
full work available at URL: https://arxiv.org/abs/1111.6038
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 60G42
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 6249455
zbMATH Keywords: Bermudan options
zbMATH Keywords: duality
zbMATH Keywords: Monte Carlo simulation
zbMATH Keywords: linear regression
zbMATH Keywords: surely optimal martingales
zbMATH Keywords: backward algorithm
MaRDI profile type: Publication
OpenAlex ID: W3123231293
arXiv ID: 1111.6038
title: Optimal dual martingales, their analysis, and application to new algorithms for Bermudan products
description: scientific article; zbMATH DE number 6249455