Upper Bounds for Bermudan Style Derivatives (Q4655057): Difference between revisions
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| Property / author: Anastasia Kolodko / rank | |||
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| Property / author: John G. M. Schoenmakers / rank | |||
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Latest revision as of 01:05, 20 March 2024
scientific article; zbMATH DE number 2143466
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Upper Bounds for Bermudan Style Derivatives |
scientific article; zbMATH DE number 2143466 |
Statements
Upper Bounds for Bermudan Style Derivatives (English)
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10 March 2005
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Bermudan options
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Monte Carlo
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duality approach
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LIBOR models
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