TY - GEN A1 - Belomestny, Denis A1 - Bender, Christian A1 - Schoenmakers, John T1 - True upper bounds for Bermudan products via non-nested Monte Carlo N2 - We present a generic non-nested Monte Carlo procedure for computing true upper bounds for Bermudan products, given an approximation of the Snell envelope. The pleonastic ``true'' stresses that, by construction, the estimator is biased above the Snell envelope. The key idea is a regression estimator for the Doob martingale part of the approximative Snell envelope, which preserves the martingale property. The so constructed martingale may be employed for computing dual upper bounds without nested simulation. In general, this martingale can also be used as a control variate for simulation of conditional expectations. In this context, we develop a variance reduced version of the nested primal-dual estimator (Anderson & Broadie (2004)) and nested consumption based (Belomestny & Milstein (2006)) methods . Numerical experiments indicate the efficiency of the non-nested Monte Carlo algorithm and the variance reduced nested one. Y1 - 2008 UR - https://opus4.kobv.de/opus4-matheon/frontdoor/index/index/docId/446 UR - https://nbn-resolving.org/urn:nbn:de:0296-matheon-4462 ER -