Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates
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References listed on IDEAS
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More about this item
KeywordsBermudan options; Nonparametric regression; Boundary condition; Suboptimal stopping rules; 62G08; 65C05; 60G40; G10; G12; G13;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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