Bounding Bermudan swaptions in a swap-rate market model
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- Pietersz, R. & Pelsser, A.A.J., 2003.
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- 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.
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