Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies (Q1994388)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies |
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Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies (English)
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1 November 2018
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LIBOR market model
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Bermudan options
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callability
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Monte Carlo
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early exercise
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upper bounds
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