A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options (Q5310693)
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scientific article; zbMATH DE number 5200223
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| English | A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options |
scientific article; zbMATH DE number 5200223 |
Statements
A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options (English)
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11 October 2007
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Monte Carlo
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Bermudan options
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early exercise
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upper bounds
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0.8881034
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0.87489724
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0.8720363
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0.86864424
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0.86506224
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0.8637212
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0.8637203
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0.8634884
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