Practical Policy Iteration: Generic Methods for Obtaining Rapid and Tight Bounds for Bermudan Exotic Derivatives Using Monte Carlo Simulation
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Elsevier BV
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1. Improved Sub-Simulation-Free Upper Bounds for the Monte Carlo Pricing of Callable Derivatives and Various Improvements to Existing Methodologies;SSRN Electronic Journal;2012
2. Efficient Pricing and Greeks in the Cross-Currency LIBOR Market Model;SSRN Electronic Journal;2010
3. Monte Carlo Bounds for Game Options Including Convertible Bonds;SSRN Electronic Journal;2010
4. Interpolation Schemes in the Displaced-Diffusion LIBOR Market Model and the Efficient Pricing and Greeks for Callable Range Accruals;SSRN Electronic Journal;2009
5. Stable Monte-Carlo Sensitivities of Bermudan Callable Products;SSRN Electronic Journal;2009
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