True upper bounds for bermudan products via non-nested Monte Carlo

Mathematical Finance

Volumn 19, Issue 1, 2009, Pages 53-71

  Belomestny, Denis ^a   Bender, Christian ^b   Schoenmakers, John ^a  

^a WEIERSTRASS INSTITUTE FOR APPLIED ANALYSIS AND STOCHASTICS   (Germany)

^b TECHNICAL UNIVERSITY OF BRAUNSCHWEIG   (Germany)

Author keywords

Early exercise options; Linear regression; Monte Carlo simulation

Indexed keywords

EID: 58149507000     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2008.00357.x     Document Type: Article

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