Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates
| Year of publication: |
2011
|
|---|---|
| Authors: | Belomestny, Denis |
| Published in: |
Finance and Stochastics. - Springer. - Vol. 15.2011, 4, p. 655-683
|
| Publisher: |
Springer |
| Subject: | Bermudan options | Nonparametric regression | Boundary condition | Suboptimal stopping rules |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10009400209