Mair, Maximilian; Maruhn, Jan - In: Review of Derivatives Research 16 (2013) 1, pp. 79-110
This paper discusses various extensions and implementation aspects of the primal-dual algorithm of Andersen and Broadie for the pricing of Bermudan options. The main emphasis is on a generalization of the dual lower and upper bounds to the case of mixed buyer and seller exercise, along with a...