True upper bounds for Bermudan products via non-nested Monte Carlo. Belomestny, D., Bender, C., & Schoenmakers, J. Math. Finance, 19(1):53–71, 2009.
True upper bounds for Bermudan products via non-nested Monte Carlo [link]Paper  doi  bibtex   1 download  
@article {MR2488402,
    AUTHOR = {Belomestny, Denis and Bender, Christian and Schoenmakers,
              John},
     TITLE = {True upper bounds for {B}ermudan products via non-nested
              {M}onte {C}arlo},
   JOURNAL = {Math. Finance},
  FJOURNAL = {Mathematical Finance. An International Journal of Mathematics,
              Statistics and Financial Economics},
    VOLUME = {19},
      YEAR = {2009},
    NUMBER = {1},
     PAGES = {53--71},
      ISSN = {0960-1627},
   MRCLASS = {91B28 (65C05)},
  MRNUMBER = {2488402},
MRREVIEWER = {Gunther Leobacher},
       DOI = {10.1111/j.1467-9965.2008.00357.x},
       URL = {https://doi.org/10.1111/j.1467-9965.2008.00357.x},
}

Downloads: 1