Practical policy iteration: Generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
Year of publication: |
2013
|
---|---|
Authors: | Beveridge, Christopher ; Joshi, Mark ; Tang, Robert |
Published in: |
Journal of Economic Dynamics and Control. - Elsevier, ISSN 0165-1889. - Vol. 37.2013, 7, p. 1342-1361
|
Publisher: |
Elsevier |
Subject: | Bermudan option | LIBOR market model | Early exercise | Monte Carlo |
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