BALDER, SVEN; MAHAYNI, ANTJE; SCHOENMAKERS, JOHN - In: Quantitative Finance 13 (2013) 7, pp. 1003-1013
<title>Abstract</title> In this paper we consider the valuation of Bermudan callable derivatives with multiple exercise rights. We present in this context a new primal--dual <italic>linear</italic> Monte Carlo algorithm that allows for efficient simulation of the lower and upper price bounds without using nested simulations...