Recursive lower and dual upper bounds for Bermudan-style options
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Publication:2273928
DOI10.1016/j.ejor.2019.07.031zbMath1431.91397OpenAlexW3124282057WikidataQ127487825 ScholiaQ127487825MaRDI QIDQ2273928
Alfredo Ibáñez, Carlos Velasco
Publication date: 18 September 2019
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2019.07.031
financeBermudan/American optionsoptimal-stopping timesrecursive lower/upper boundssimulation and local least squares
Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items
The price of the Bermudan option: A simple, explicit formula, Generic improvements to least squares Monte Carlo methods with applications to optimal stopping problems
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