Pricing Bermudan options using nonparametric regression: optimal rates of convergence for lower estimates
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Denis Belomestny & Fabian Dickmann & Tigran Nagapetyan, 2013. "Pricing American options via multi-level approximation methods," Papers 1303.1334, arXiv.org, revised Dec 2013.
- Denis Belomestny & G. Milstein & John Schoenmakers, 2010.
"Sensitivities for Bermudan options by regression methods,"
Decisions in Economics and Finance,
Springer;Associazione per la Matematica, vol. 33(2), pages 117-138, November.
- Denis Belomestny & Grigori Milstein & John Schoenmakers, 2007. "Sensitivities for Bermudan Options by Regression Methods," SFB 649 Discussion Papers SFB649DP2007-048, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Fabian Dickmann & Nikolaus Schweizer, 2014. "Faster Comparison of Stopping Times by Nested Conditional Monte Carlo," Papers 1402.0243, arXiv.org.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-09-26 (All new papers)
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