Sensitivities for Bermudan options by regression methods (Q604677)
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scientific article; zbMATH DE number 5815434
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| English | Sensitivities for Bermudan options by regression methods |
scientific article; zbMATH DE number 5815434 |
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Sensitivities for Bermudan options by regression methods (English)
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12 November 2010
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American and Bermudan options
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optimal stopping times
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Monte Carlo simulation
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deltas
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conditional probabilistic representations
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regression methods
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0.807666540145874
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0.8053893446922302
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0.7963374257087708
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0.7923685312271118
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0.7844218015670776
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