Practical policy iteration : generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
Year of publication: |
2013
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Authors: | Beveridge, Christopher ; Joshi, Mark S. ; Tang, Robert |
Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 37.2013, 7, p. 1342-1361
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Subject: | Bermudan option | LIBOR market model | Early exercise | Monte Carlo | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Simulation | Zinsstruktur | Yield curve | Optionsgeschäft | Option trading |
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