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Mixed exercise
Bermudan options
32
Optionspreistheorie
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Option pricing theory
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Monte Carlo simulation
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American and Bermudan options
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Monte-Carlo-Simulation
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Optimal stopping times
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American options
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Mair, Maximilian
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Mair, Maximilian L.
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Review of Derivatives Research
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Review of derivatives research
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On the primal-dual algorithm for callable
Bermudan
options
Mair, Maximilian
;
Maruhn, Jan
- In:
Review of Derivatives Research
16
(
2013
)
1
,
pp. 79-110
for the pricing of
Bermudan
options
. The main emphasis is on a generalization of the dual lower and upper bounds to the …
Persistent link: https://www.econbiz.de/10010867557
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2
On the primal-dual algorithm for callable
Bermudan
options
Mair, Maximilian L.
;
Maruhn, Jan H.
- In:
Review of derivatives research
16
(
2013
)
1
,
pp. 79-110
Persistent link: https://www.econbiz.de/10009729918
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