Optimal Dual Martingales, Their Analysis, and Application to New Algorithms for Bermudan Products (Q2873120): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W3123231293 / rank | |||
Normal rank | |||
Revision as of 22:00, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal Dual Martingales, Their Analysis, and Application to New Algorithms for Bermudan Products |
scientific article |
Statements
Optimal Dual Martingales, Their Analysis, and Application to New Algorithms for Bermudan Products (English)
0 references
23 January 2014
0 references
Bermudan options
0 references
duality
0 references
Monte Carlo simulation
0 references
linear regression
0 references
surely optimal martingales
0 references
backward algorithm
0 references
