Regression methods in pricing American and Bermudan options using consumption processes
Year of publication: |
2006-07
|
---|---|
Authors: | Belomestny, Denis ; Milstein, Grigori N. ; Spokoiny, Vladimir |
Institutions: | Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät |
Subject: | American and Bermudan options | Low and Upper bounds | Monte Carlo simulations | Consumption process | Regression methods | Optimal stopping times |
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