Practical policy iteration : generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
Christopher Beveridge; Mark Joshi; Robert Tang
| Year of publication: |
2013
|
|---|---|
| Authors: | Beveridge, Christopher ; Joshi, Mark S. ; Tang, Robert |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 37.2013, 7, p. 1342-1361
|
| Subject: | Bermudan option | LIBOR market model | Early exercise | Monte Carlo | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Simulation | Zinsstruktur | Yield curve | Optionsgeschäft | Option trading |
| Extent: | graph. Darst. |
|---|---|
| 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://www.econbiz.de/10009751160