Bender, Christian; Kolodko, Anastasia; Schoenmakers, John - In: Quantitative Finance 8 (2008) 2, pp. 135-146
Kolodko and Schoenmakers (2006) and Bender and Schoenmakers (2006) introduced a policy iteration that allows the achievement of a tight lower approximations of the price for early exercise options via a nested Monte Carlo simulation in a Markovian setting. In this paper we enhance the algorithm...