Upper bounds for Bermudan options on Markovian data using nonparametric regression and a reduced number of nested Monte Carlo steps (Q5191261): Difference between revisions
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Revision as of 01:07, 20 March 2024
scientific article; zbMATH DE number 5588131
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Upper bounds for Bermudan options on Markovian data using nonparametric regression and a reduced number of nested Monte Carlo steps |
scientific article; zbMATH DE number 5588131 |
Statements
Upper bounds for Bermudan options on Markovian data using nonparametric regression and a reduced number of nested Monte Carlo steps (English)
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29 July 2009
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American options
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consistency
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dual method
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nonparametric regression
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regression-based Monte Carlo methods
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