Belomestny, Denis; Milstein, Grigori N.; Spokoiny, Vladimir - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
Here we develop methods for e±cient pricing multidimensional discrete-time American and Bermudan options by using … in pricing American and Bermudan
options using consumption processes
Belomestny, Denis ⁄
Weierstrass-Institute
Mohrenstr …@wias-berlin.de
Abstract
Here we develop methods for e–cient pricing multidimensional discrete-
time American and Bermudan options by using …