A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options
Year of publication: |
2007
|
---|---|
Authors: | Joshi, Mark S. |
Published in: |
Applied Mathematical Finance. - Taylor & Francis Journals, ISSN 1350-486X. - Vol. 14.2007, 3, p. 197-205
|
Publisher: |
Taylor & Francis Journals |
Subject: | Monte Carlo | Bermudan options | early exercise | upper bounds |
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