Pages that link to "Item:Q1994388"
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The following pages link to Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies (Q1994388):
Displaying 6 items.
- Pricing bounds for volatility derivatives via duality and least squares Monte Carlo (Q1626511) (← links)
- A new class of dual upper bounds for early exercisable derivatives encompassing both the additive and multiplicative bounds (Q1785438) (← links)
- Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation (Q1994265) (← links)
- Recursive lower and dual upper bounds for Bermudan-style options (Q2273928) (← links)
- Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal (Q5001149) (← links)
- A PRIMAL–DUAL ALGORITHM FOR BSDES (Q5283406) (← links)
