This paper discusses various extensions and implementation aspects of the primal-dual algorithm of Andersen and Broadie for the pricing of Bermudan options. The main emphasis is on a generalization of the dual lower and upper bounds to the case of mixed buyer and seller exercise, along with a...

In this paper, a dynamic inflation-protected investment strategy is presented, which is based on traditional asset classes and Markov-switching models. Different stock market, as well as inflation regimes are identified, and within those regimes, the inflation hedging potential of stocks, bonds,...

In this paper, a dynamic inflation-protected investment strategy is presented, which is based on traditional asset classes and Markov-switching models. Different stock market, as well as inflation regimes are identified, and within those regimes, the inflation hedging potential of stocks, bonds,...