Belomestny, Denis; Mil¤stejn, Grigorij N. - 2006
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 …