Sensitivities for Bermudan options by regression methods. Belomestny, D., Milstein, G. N., & Schoenmakers, J. Decis. Econ. Finance, 33(2):117–138, 2010.
Paper doi bibtex @article {MR2727447,
AUTHOR = {Belomestny, Denis and Milstein, G. N. and Schoenmakers, John},
TITLE = {Sensitivities for {B}ermudan options by regression methods},
JOURNAL = {Decis. Econ. Finance},
FJOURNAL = {Decisions in Economics and Finance. A Journal of Applied
Mathematics},
VOLUME = {33},
YEAR = {2010},
NUMBER = {2},
PAGES = {117--138},
ISSN = {1593-8883},
MRCLASS = {91G60 (91G20)},
MRNUMBER = {2727447},
DOI = {10.1007/s10203-009-0101-z},
URL = {https://doi.org/10.1007/s10203-009-0101-z},
}
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