A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options
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Publication:5310693
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Cites work
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 1095739 (Why is no real title available?)
- scientific article; zbMATH DE number 1999206 (Why is no real title available?)
- Additive and multiplicative duals for American option pricing
- Monte Carlo valuation of American options
- Pricing American Options: A Duality Approach
Cited in
(13)- Recursive lower and dual upper bounds for Bermudan-style options
- Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal
- Upper Bounds for Bermudan Style Derivatives
- Bermudan option in Singapore savings bonds
- Simple improvement method for upper bound of American option
- Multilevel dual approach for pricing American style derivatives
- scientific article; zbMATH DE number 1795854 (Why is no real title available?)
- Upper bounds for Bermudan options on Markovian data using nonparametric regression and a reduced number of nested Monte Carlo steps
- Improved lower and upper bound algorithms for pricing American options by simulation
- Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions
- A new class of dual upper bounds for early exercisable derivatives encompassing both the additive and multiplicative bounds
- A perturbative approach to Bermudan options pricing with applications
- Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
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