Bermudan options using regression methods and Monte Carlo simulation. These methods rely on conditional probabilistic … representations which allow, in combination with a regression approach, for efficient simultaneous computation of sensitivities at …

Bermudan options using regression methods and Monte Carlo simulation. These methods rely on conditional probabilistic … representations which allow, in combination with a regression approach, for efficient simultaneous computation of sensitivities at …, Deltas, Conditional probabilistic representations, Regression methods AMS 2000 Subject Classification: 60H30, 65C05, 91B28 …