Upper Bounds for Bermudan Style Derivatives (Q4655057)

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scientific article; zbMATH DE number 2143466
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Upper Bounds for Bermudan Style Derivatives
scientific article; zbMATH DE number 2143466

    Statements

    title
    Upper Bounds for Bermudan Style Derivatives (English)
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    publication date
    10 March 2005
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    zbMATH Keywords
    Bermudan options
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    Monte Carlo
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    duality approach
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    LIBOR models
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    Identifiers

    zbMATH DE Number
    2143466
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