Belomestny, Denis; Milstein, Grigori N.; Spokoiny, Vladimir - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
snowballs in the Libor market model. … regression based algorithms together with a new approach towards constructing upper bounds for the price of the option. Applying … the sample space with payoffs at the optimal stopping times, we propose sequential estimates for continuation values …