Recursive lower and dual upper bounds for Bermudan-style options
Alfredo Ibáñez, Carlos Velasco
| Year of publication: |
2020
|
|---|---|
| Authors: | Ibáñez, Alfredo ; Velasco, Carlos |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 280.2020, 2 (16.1.), p. 730-740
|
| Subject: | Bermudan/American options | Finance | Optimal-stopping times | Recursive lower/upper bounds | Simulation and local least squares | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Simulation | Mathematische Optimierung | Mathematical programming | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2019.07.031 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012132467