Simple improvement method for upper bound of American option (Q3108374): Difference between revisions

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+MaRDI publication profile
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+https://doi.org/10.1080/17442508.2010.518706
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+W2026340970
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@@ Property / cites work @@
+Improved lower and upper bound algorithms for pricing American options by simulation
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+Additive and multiplicative duals for American option pricing
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+Pricing American Options: A Duality Approach
@@ Property / cites work: Pricing American Options: A Duality Approach / rank @@
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+A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options
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+Iterative construction of the optimal Bermudan stopping time
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+Valuing American Options by Simulation: A Simple Least-Squares Approach
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+Monte Carlo valuation of American options
@@ Property / cites work: Monte Carlo valuation of American options / rank @@
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