Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Finance,Statistics and Probability
Reference26 articles.
1. Aleksandrov, N., Hambly, B.M.: A dual approach to multiple exercise option problems under constraints. Math. Methods Oper. Res. (2008, forthcoming)
2. Andersen, L.: A simple approach to the pricing of Bermudan swaptions in a multifactor LIBOR market model. J. Comput. Finance 3, 5–32 (1999)
3. Andersen, L., Broadie, M.: A primal-dual simulation algorithm for pricing multidimensional American options. Manag. Sci. 50, 1222–1234 (2004)
4. Belomestny, D., Milstein, G.N.: Monte Carlo evaluation of American options using consumption processes. Int. J. Theor. Appl. Finance 9, 1–27 (2006)
5. Belomestny, D., Bender, C., Schoenmakers, J.: True upper bounds for Bermudan products via non-nested Monte Carlo. Math. Finance 19, 53–71 (2009)
Cited by
18 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献