Belomestny, Denis; Milstein, Grigori; Schoenmakers, John - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007
Bermudan options using regression methods and Monte Carlo simulation. These methods rely on conditional probabilistic …
SFB 649 Discussion Paper 2007-048
Sensitivities for
Bermudan Options by
Regression Methods …
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Sensitivities for Bermudan options by regression methods
Belomestny, Denis ∗
Weierstrass …