The optimal method for pricing Bermudan options by simulation
Year of publication: |
2018
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Authors: | Ibáñez, Alfredo ; Velasco, Carlos |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial economics. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1467-9965, ZDB-ID 1481288-5. - Vol. 28.2018, 4, p. 1143-1180
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Subject: | American and Bermudan options | local least-squares | optimal stopping-times | optimization | simulation | Optionspreistheorie | Option pricing theory | Simulation |
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