TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO (Q3608735)
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scientific article; zbMATH DE number 5523711
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| English | TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO |
scientific article; zbMATH DE number 5523711 |
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TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO (English)
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6 March 2009
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early exercise options
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Monte Carlo simulation
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linear regression
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0.8363615870475769
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0.8093163371086121
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0.801858127117157
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0.7799882292747498
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