Upper Bounds for Bermudan Style Derivatives (Q4655057): Difference between revisions
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| Property / DOI: 10.1515/mcma.2004.10.3-4.331 / rank | |||
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| Property / author: Anastasia Kolodko / rank | |||
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| Property / author: John G. M. Schoenmakers / rank | |||
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| Property / author: Anastasia Kolodko / rank | |||
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| Property / author: John G. M. Schoenmakers / rank | |||
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| Property / full work available at URL: https://doi.org/10.1515/mcma.2004.10.3-4.331 / rank | |||
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| Property / OpenAlex ID: W2041044563 / rank | |||
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| Property / DOI: 10.1515/MCMA.2004.10.3-4.331 / rank | |||
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Latest revision as of 15:00, 30 December 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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