Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Finance,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s00780-010-0132-x.pdf
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3. Belomestny, D., Milstein, G.N., Spokoiny, V.: Regression methods in pricing American and Bermudan options using consumption processes. Quant. Finance 9, 315–327 (2006)
4. Broadie, M., Glasserman, P.: Pricing American-style securities using simulation. J. Econ. Dyn. Control 21, 1323–1352 (1997)
5. Carrière, J.: Valuation of early-exercise price of options using simulations and nonparametric regression. Insur. Math. Econ. 19, 19–30 (1996)
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