Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
Mark Joshi; Robert Tang
| Year of publication: |
2014
|
|---|---|
| Authors: | Joshi, Mark S. ; Tang, Robert |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 40.2014, p. 25-45
|
| Subject: | LIBOR market model | Bermudan options | Callability | Monte Carlo | Early exercise | Upper bounds | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Monte-Carlo-Simulation | Monte Carlo simulation | Optionsgeschäft | Option trading | Zinsstruktur | Yield curve | Simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010424450