Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation (Q1994265): Difference between revisions
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Revision as of 05:31, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation |
scientific article |
Statements
Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation (English)
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1 November 2018
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Bermudan option
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LIBOR market model
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early exercise
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Monte Carlo
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