Regression methods in pricing American and Bermudan options using consumption processes. Belomestny, D., Milstein, G., & Spokoiny, V. Quant. Finance, 9(3):315–327, 2009.
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Paper doi bibtex
Paper doi bibtex @article {MR2510185,
AUTHOR = {Belomestny, Denis and Milstein, Grigori and Spokoiny,
Vladimir},
TITLE = {Regression methods in pricing {A}merican and {B}ermudan
options using consumption processes},
JOURNAL = {Quant. Finance},
FJOURNAL = {Quantitative Finance},
VOLUME = {9},
YEAR = {2009},
NUMBER = {3},
PAGES = {315--327},
ISSN = {1469-7688},
MRCLASS = {91G70 (62G08 62P05 65C05 91G20)},
MRNUMBER = {2510185},
DOI = {10.1080/14697680802165736},
URL = {https://doi.org/10.1080/14697680802165736},
}Downloads: 0
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