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Search: subject:"local least-squares"
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Option pricing theory
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local least-squares
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Ibáñez, Alfredo
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European journal of operational research : EJOR
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Mathematical finance : an international journal of mathematics, statistics and financial economics
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Recursive lower and dual upper bounds for Bermudan-style options
Ibáñez, Alfredo
;
Velasco, Carlos
- In:
European journal of operational research : EJOR
280
(
2020
)
2
,
pp. 730-740
Persistent link: https://www.econbiz.de/10012132467
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The optimal method for pricing Bermudan options by simulation
Ibáñez, Alfredo
;
Velasco, Carlos
- In:
Mathematical finance : an international journal of …
28
(
2018
)
4
,
pp. 1143-1180
Persistent link: https://www.econbiz.de/10011969082
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