TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO
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Publication:3608735
DOI10.1111/j.1467-9965.2008.00357.xzbMath1155.91376OpenAlexW2339568487MaRDI QIDQ3608735
Christian Bender, Denis Belomestny, John G. M. Schoenmakers
Publication date: 6 March 2009
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2008.00357.x
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Cites Work
- Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
- Valuation of the early-exercise price for options using simulations and nonparametric regression
- A numerical scheme for BSDEs
- Time discretization and Markovian iteration for coupled FBSDEs
- Iterative construction of the optimal Bermudan stopping time
- Asymptotic Properties of Monte Carlo Estimators of Derivatives
- Monte Carlo construction of hedging strategies against multi-asset European claims
- The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope
- Pricing American Options: A Duality Approach
- Upper Bounds for Bermudan Style Derivatives
- Robust Libor Modelling and Pricing of Derivative Products
- Monte Carlo valuation of American options
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