A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options

Annals of Applied Probability

Volumn 17, Issue 4, 2007, Pages 1138-1171

  Egloff, Daniel ^a,b   Kohler, Michael ^a   Todorovic, Nebojsa ^a  

^a SAARLAND UNIVERSITY   (Germany)

^b Cantonal Bank of Zurich   (Switzerland)

Author keywords

American options; Bermudan options; Monte Carlo methods; Nonparametric regression; Optimal stopping

Indexed keywords

EID: 46649109027     PISSN: 10505164     EISSN: 10505164     Source Type: Journal    
DOI: 10.1214/105051607000000249     Document Type: Article

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