Narrow search
Showing 1 - 4 of 4
Cover Image
A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options
Joshi, Mark S. - In: Applied Mathematical Finance 14 (2007) 3, pp. 197-205
The additive method for upper bounds for Bermudan options is rephrased in terms of buyer's and seller's prices. It is shown how to deduce Jamshidian's upper bound result in a simple fashion from the additive method, including the case of possibly zero final pay-off. Both methods are improved by...
Persistent link: https://www.econbiz.de/10005462520
Cover Image
The efficient computation and the sensitivity analysis of finite-time ruin probabilities and the estimation of risk-based regulatory capital
Joshi, Mark S.; Zhu, Dan - In: Astin bulletin : the journal of the International … 46 (2016) 2, pp. 431-467
Persistent link: https://www.econbiz.de/10011576782
Cover Image
Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
Joshi, Mark S.; Tang, Robert - In: Journal of economic dynamics & control 40 (2014), pp. 25-45
Persistent link: https://www.econbiz.de/10010424450
Cover Image
Practical policy iteration : generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
Beveridge, Christopher; Joshi, Mark S.; Tang, Robert - In: Journal of economic dynamics & control 37 (2013) 7, pp. 1342-1361
Persistent link: https://www.econbiz.de/10009751160