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. - London : Routledge, ISSN 1350-486X, ZDB-ID 12824094. - Vol. 14.2007, 3, p. 197-206
|