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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
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Sensitivities for Bermudan options by regression methods
Belomestny, Denis; Milʹstejn, Grigorij N.; … - In: Decisions in economics and finance : DEF ; a journal of … 33 (2010) 2, pp. 117-138
Persistent link: https://www.econbiz.de/10008668146
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Pricing CMS spread options in a Libor market model
Belomestny, Denis; Kolodko, Anastasia; Schoenmakers, John - In: International journal of theoretical and applied finance 13 (2010) 1, pp. 45-62
Persistent link: https://www.econbiz.de/10008860424
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Multilevel dual approach for pricing American style derivates
Belomestny, Denis; Schoenmakers, John; Dickmann, Fabian - In: Finance and stochastics 17 (2013) 4, pp. 717-742
Persistent link: https://www.econbiz.de/10010190883
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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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From optimal martingales to randomized dual optimal stopping
Belomestny, Denis; Schoenmakers, John - In: Quantitative finance 23 (2023) 7/8, pp. 1099-1113
Persistent link: https://www.econbiz.de/10014321666
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A pure martingale dual for multiple stopping
Schoenmakers, John - In: Finance and stochastics 16 (2012) 2, pp. 319-334
Persistent link: https://www.econbiz.de/10009544665
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Pricing Bermudan options by nonparametric regression : optimal rates of convergence for lower estimates
Belomestny, Denis - In: Finance and stochastics 15 (2011) 4, pp. 655-683
Persistent link: https://www.econbiz.de/10009423289
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From structural assumptions to a link between assets and interrest rates
Reiß, Oliver; Schoenmakers, John; Schweizer, Martin - In: Journal of economic dynamics & control 31 (2007) 2, pp. 593-612
Persistent link: https://www.econbiz.de/10003412327
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Efficient and accurate log-Lévy approximations of Lévy-driven LIBOR models
Papapantoleon, Antonis; Schoenmakers, John; Skovmand, David - In: The journal of computational finance 15 (2011/12) 4, pp. 3-44
Persistent link: https://www.econbiz.de/10009575414