<title>Abstract</title> In this paper we consider the valuation of Bermudan callable derivatives with multiple exercise rights. We present in this context a new primal--dual <italic>linear</italic> Monte Carlo algorithm that allows for efficient simulation of the lower and upper price bounds without using nested simulations...

Contracts paying a guaranteed minimum rate of return and a fraction of a positive excess rate, whichis specified relative to a benchmark portfolio, are closely related to unit-linked life-insurance productsand can be considered as alternatives to direct investment in the underlying benchmark....