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Search: subject:"lower and upper bounds"
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American and Bermudan options
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Lower and Upper bounds
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Monte Carlo simulation
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Variance reduction
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Belomestny, Denis
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Milstein, Grigori
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
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SFB 649 Discussion Papers
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Adaptive Simulation Algorithms for Pricing American and Bermudian Options by Local Analysis of Financial Market
Belomestny, Denis
;
Milstein, Grigori
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2006
Bermudan options,
Lower
and
Upper
bounds
, Monte Carlo simulation, Variance reduction. THIS RESEARCH WAS SUPPORTED BY THE …
Persistent link: https://www.econbiz.de/10005652739
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