Upper bounds for Bermudan options on Markovian data using nonparametric regression and a reduced number of nested Monte Carlo steps (Q5191261)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: 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
| 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)
0 references
29 July 2009
0 references
American options
0 references
consistency
0 references
dual method
0 references
nonparametric regression
0 references
regression-based Monte Carlo methods
0 references
