A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options
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- Christopher Beveridge & Mark Joshi, 2011. "Monte Carlo Bounds for Game Options Including Convertible Bonds," Management Science, INFORMS, pages 960-974.
- 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.
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KeywordsMonte Carlo; Bermudan options; early exercise; upper bounds;
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