Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation (Q1994265)

From MaRDI portal
scientific article
Language Label Description Also known as
English
Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
scientific article

    Statements

    Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation (English)
    0 references
    0 references
    0 references
    0 references
    1 November 2018
    0 references
    Bermudan option
    0 references
    LIBOR market model
    0 references
    early exercise
    0 references
    Monte Carlo
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers