True upper bounds for Bermudan products via non-nested Monte Carlo. Belomestny, D., Bender, C., & Schoenmakers, J. Math. Finance, 19(1):53–71, 2009.
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
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