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consider a discrete-time financial model and let (Bti,Xti) = (Bti,X1ti,...,Xdti), i = 0,1,...,L, be the vector of prices at … order to construct local low bounds we need to compute the prices of the corresponding European style options vt+θt (x) = e … Dynamics and Control, 21, 1267-1321. [5] M. Broadie, P. Glasserman (1997). Pricing American-style securities using simulation …
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In this paper we propose a Libor model with a high-dimensional specially structured system of driving CIR volatility processes. A stable calibration prodecure which takes into account a given local correlation structure is presented. The calibration algorithm is FFT based, so fast and easy to...
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option prices and can be used for calibration of a Libor market model to the CMS spread option market …
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A new algorithm for finding value functions of finite horizon optimal stopping problems in one-dimensional diffusion models is presented. It is based on a time discretization of the corresponding integral equation. The proposed iterative procedure for solving the discretized integral equation...
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Here we develop an approach for efficient pricing discrete-time American and Bermudan options which employs the fact that such options are equivalent to theEuropean ones with a consumption, combined with analysis of the market model over a small number of steps ahead. This approach allows...
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