Primal and Dual Pricing of Multiple Exercise Options in Continuous Time
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Finance,Numerical Analysis
Link
http://epubs.siam.org/doi/pdf/10.1137/09077076X
Reference18 articles.
1. A dual approach to multiple exercise option problems under constraints
2. Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options
3. A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
4. TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON-NESTED MONTE CARLO
5. Dual pricing of multi-exercise options under volume constraints
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