Andersen, Leif; Broadie, Mark - In: Management Science 50 (2004) 9, pp. 1222-1234
This paper describes a practical algorithm based on Monte Carlo simulation for the pricing of multidimensional American (i.e., continuously exercisable) and Bermudan (i.e., discretely exercisable) options. The method generates both lower and upper bounds for the Bermudan option price and hence...