Addendum to: ``Multilevel dual approach for pricing American style derivatives

DOI10.1007/s00780-015-0267-xzbMath1330.91182OpenAlexW2128275610MaRDI QIDQ2516774

Denis Belomestny, Mark S. Joshi, John G. M. Schoenmakers

Publication date: 4 August 2015

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11343/282883

zbMATH Keywords

optimal stoppingmultilevel Monte Carlodual approach

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal

Cites Work

• Multilevel dual approach for pricing American style derivatives
• Pricing American Options: A Duality Approach
• Monte Carlo valuation of American options

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