A simple derivation of and improvements to Jamshidian's and Roger's upper bound methods for Bermudan options
Year of publication: |
2007
|
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Authors: | Joshi, Mark S. |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 14.2007, 3, p. 197-205
|
Subject: | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Monte-Carlo-Simulation | Monte Carlo simulation |
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