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True Upper Bounds For Bermudan Products Via Non-Nested Monte Carlo

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Author Info

  • Denis Belomestny
  • Christian Bender
  • John Schoenmakers

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-9965.2008.00357.x
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Bibliographic Info

Article provided by Wiley Blackwell in its journal Mathematical Finance.

Volume (Year): 19 (2009)
Issue (Month): 1 ()
Pages: 53-71

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Handle: RePEc:bla:mathfi:v:19:y:2009:i:1:p:53-71

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0960-1627

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Cited by:
  1. John Schoenmakers, 2012. "A pure martingale dual for multiple stopping," Finance and Stochastics, Springer, vol. 16(2), pages 319-334, April.
  2. John Schoenmakers & Junbo Huang & Jianing Zhang, 2011. "Optimal dual martingales, their analysis and application to new algorithms for Bermudan products," Papers 1111.6038, arXiv.org, revised Feb 2012.
  3. Helin Zhu & Fan Ye & Enlu Zhou, 2013. "Fast Estimation of True Bounds on Bermudan Option Prices under Jump-diffusion Processes," Papers 1305.4321, arXiv.org.
  4. Denis Belomestny & John Schoenmakers & Fabian Dickmann, 2013. "Multilevel dual approach for pricing American style derivatives," Finance and Stochastics, Springer, vol. 17(4), pages 717-742, October.
  5. Christian Bender & Nikolaus Schweizer & Jia Zhuo, 2013. "A primal-dual algorithm for BSDEs," Papers 1310.3694, arXiv.org.
  6. Maximilian Mair & Jan Maruhn, 2013. "On the primal-dual algorithm for callable Bermudan options," Review of Derivatives Research, Springer, vol. 16(1), pages 79-110, April.
  7. Thilo Moseler & Christian Bender, 2008. "Importance sampling for backward SDEs," CoFE Discussion Paper 08-11, Center of Finance and Econometrics, University of Konstanz.
  8. Joshi, Mark & Tang, Robert, 2014. "Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 25-45.
  9. Beveridge, Christopher & Joshi, Mark & Tang, Robert, 2013. "Practical policy iteration: Generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation," Journal of Economic Dynamics and Control, Elsevier, vol. 37(7), pages 1342-1361.

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