A simple derivation of and improvements to Jamshidian's and Roger's upper bound methods for Bermudan options
Mark S. Joshi
| Year of publication: |
2007
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|---|---|
| Authors: | Joshi, Mark S. |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 14.2007, 3, p. 197-205
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| Subject: | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Monte-Carlo-Simulation | Monte Carlo simulation |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003542984