Regression methods in pricing American and Bermudan options using consumption processes
Year of publication: |
2009
|
---|---|
Authors: | Belomestny, Denis ; Milstein, Grigori ; Spokoiny, Vladimir |
Published in: |
Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 9.2009, 3, p. 315-327
|
Publisher: |
Taylor & Francis Journals |
Subject: | American and Bermudan options | Error bounds | Monte Carlo | Consumption process | Regression methods | Optimal stopping times |
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Regression methods in pricing American and Bermudan options using consumption processes
Belomestny, Denis, (2006)
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Regression methods in pricing American and Bermudan options using consumption processes
Belomestny, Denis, (2006)
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Sensitivities for Bermudan options by regression methods
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Regression methods in pricing American and Bermudan options using consumption processes
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Sensitivities for Bermudan Options by Regression Methods
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