Optimal Dual Martingales, Their Analysis, and Application to New Algorithms for Bermudan Products (Q2873120)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal Dual Martingales, Their Analysis, and Application to New Algorithms for Bermudan Products |
scientific article |
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Optimal Dual Martingales, Their Analysis, and Application to New Algorithms for Bermudan Products (English)
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23 January 2014
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Bermudan options
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duality
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Monte Carlo simulation
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linear regression
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surely optimal martingales
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backward algorithm
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