Sensitivities for Bermudan options by regression methods. Belomestny, D., Milstein, G. N., & Schoenmakers, J. Decis. Econ. Finance, 33(2):117–138, 2010.
Sensitivities for Bermudan options by regression methods [link]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},
}

Downloads: 0