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TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON-NESTED MONTE CARLO
Belomestny, Denis; Bender, Christian; Schoenmakers, John - In: Mathematical Finance 19 (2009) 1, pp. 53-71
Persistent link: https://www.econbiz.de/10005023777
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Solving optimal stopping problems via randomization and empirical dual optimization
Belomestny, Denis; Bender, Christian; Schoenmakers, John - In: Mathematics of operations research 48 (2023) 3, pp. 1454-1480
Persistent link: https://www.econbiz.de/10014329294
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TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON-NESTED MONTE CARLO
Belomestny, Denis; Bender, Christian; Schoenmakers, John - In: Mathematical finance : an international journal of … 19 (2009) 1, pp. 53-72
Persistent link: https://www.econbiz.de/10008160564
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True upper bounds for Bermudan products via non-nested Monte Carlo
Belomestny, Denis; Bender, Christian; Schoenmakers, John - In: Mathematical finance : an international journal of … 19 (2009) 1, pp. 53-71
Persistent link: https://www.econbiz.de/10003818229