Showing 1 - 10 of 19,832
Persistent link: https://www.econbiz.de/10001591230
Persistent link: https://www.econbiz.de/10002383474
Persistent link: https://www.econbiz.de/10001584358
When pricing Bermudan derivatives by regression-based methods, foresight bias will appear in lower bounds when using a single simulation to estimate the exercise strategy and to compute lower bounds. In this paper, we propose a new method to remove this kind of bias without introducing an...
Persistent link: https://www.econbiz.de/10012956516
In this paper, we introduce and develop the theory of semimartingale optimal transport in a path dependent setting …
Persistent link: https://www.econbiz.de/10012896686
dynamics of the underlying process and the other to the characteristics of the financial derivative. It is efficient as it uses …
Persistent link: https://www.econbiz.de/10015325218
Persistent link: https://www.econbiz.de/10009725089
Persistent link: https://www.econbiz.de/10010360612
Persistent link: https://www.econbiz.de/10008856708
Persistent link: https://www.econbiz.de/10010437154