A new class of dual upper bounds for early exercisable derivatives encompassing both the additive and multiplicative bounds (Q1785438)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A new class of dual upper bounds for early exercisable derivatives encompassing both the additive and multiplicative bounds |
scientific article |
Statements
A new class of dual upper bounds for early exercisable derivatives encompassing both the additive and multiplicative bounds (English)
0 references
28 September 2018
0 references
Bermudan option
0 references
Monte Carlo simulation
0 references
upper bound
0 references
0 references
0 references
0 references
