Belomestny, Denis; Milstein, Grigori N. - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2005
Here we develop an approach for efficient pricing discrete-time American and Bermudan options which employs the fact that such options are equivalent to theEuropean ones with a consumption, combined with analysis of the market model over a small number of steps ahead. This approach allows...