On the primal-dual algorithm for callable bermudan options
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Publication:2393163
DOI10.1007/s11147-012-9078-9zbMath1269.91099OpenAlexW1988349605MaRDI QIDQ2393163
Jan H. Maruhn, Maximilian L. Mair
Publication date: 7 August 2013
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11147-012-9078-9
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
- The Pricing of Options and Corporate Liabilities
- Mathematics of financial markets
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- An analysis of a least squares regression method for American option pricing
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- TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO
- An efficient implementation of a least squares Monte Carlo method for valuing American-style options
- Pricing American Options: A Duality Approach
- A Parallel Algorithm for Computing the Singular Value Decomposition of a Matrix
- Monte Carlo valuation of American options
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Valuing American Options by Simulation: A Simple Least-Squares Approach
- Stochastic finance. An introduction in discrete time
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