Belomestny, Denis; Milstein, Grigori; Spokoiny, Vladimir - In: Quantitative Finance 9 (2009) 3, pp. 315-327
Numerical algorithms for the efficient pricing of multidimensional discrete-time American and Bermudan options are constructed using regression methods and a new approach for computing upper bounds of the options' price. Using the sample space with payoffs at optimal stopping times, we propose...