Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates. Belomestny, D. Finance Stoch., 15(4):655–683, 2011.
Paper doi bibtex @article {MR2863638,
AUTHOR = {Belomestny, Denis},
TITLE = {Pricing {B}ermudan options by nonparametric regression:
optimal rates of convergence for lower estimates},
JOURNAL = {Finance Stoch.},
FJOURNAL = {Finance and Stochastics},
VOLUME = {15},
YEAR = {2011},
NUMBER = {4},
PAGES = {655--683},
ISSN = {0949-2984},
MRCLASS = {91B25 (60G40 62G08 65C05 91G20 91G60)},
MRNUMBER = {2863638},
MRREVIEWER = {Paolo Pellizzari},
DOI = {10.1007/s00780-010-0132-x},
URL = {https://doi.org/10.1007/s00780-010-0132-x},
}
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