Recursive lower and dual upper bounds for Bermudan-style options (Q2273928): Difference between revisions

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Property / full work available at URL: https://doi.org/10.1016/j.ejor.2019.07.031 / rank
 
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Latest revision as of 14:40, 14 August 2024

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Recursive lower and dual upper bounds for Bermudan-style options
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    Recursive lower and dual upper bounds for Bermudan-style options (English)
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    18 September 2019
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    finance
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    Bermudan/American options
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    optimal-stopping times
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    recursive lower/upper bounds
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    simulation and local least squares
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