True upper bounds for Bermudan products via non-nested Monte Carlo
Denis Belomestny; Christian Bender; John Schoenmakers
| Year of publication: |
2009
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|---|---|
| Authors: | Belomestny, Denis ; Bender, Christian ; Schoenmakers, John |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 19.2009, 1, p. 53-71
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| Subject: | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003818229