The Multiplicative Dual for Multiple-Exercise Options

We derive the first known multiplicative dual for Bermudan type options that can be exercised more than once. Our multiplicative dual possesses the almost sure property, thus making it a viable alternative to the additive one. A method to compute the multiplicative upper bound is presented and the primal-dual algorithm is naturally extended to the multiplicative multiple-exercise case

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Year of publication:	2014
Authors:	Joshi, Mark S.
Other Persons:	Yap, Nicholas (contributor)
Publisher:	[2014]: [S.l.] : SSRN
Subject:	Optionspreistheorie \| Option pricing theory \| Mathematische Optimierung \| Mathematical programming

Extent:	1 Online-Ressource (14 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 27, 2014 erstellt
Other identifiers:	10.2139/ssrn.2430558 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013054777