A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options
Year of publication: |
2007
|
---|---|
Authors: | Joshi, Mark S. |
Published in: |
Applied mathematical finance. - London : Routledge, ISSN 1350-486X, ZDB-ID 12824094. - Vol. 14.2007, 3, p. 197-206
|
Saved in:
Saved in favorites
Similar items by person
-
Achieving smooth asymptotics for the prices of European options in binomial trees
Joshi, Mark S., (2007)
-
Achieving higher order convergence for the prices of European pptions in binomial trees
Joshi, Mark S., (2007)
-
Partial proxy simulation schemes for generic and robust Monte-Carlo greeks
Fries, Christian P., (2006)
- More ...