Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates
Year of publication: |
2011
|
---|---|
Authors: | Belomestny, Denis |
Published in: |
Finance and Stochastics. - Springer. - Vol. 15.2011, 4, p. 655-683
|
Publisher: |
Springer |
Subject: | Bermudan options | Nonparametric regression | Boundary condition | Suboptimal stopping rules |
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