An efficient dual Monte Carlo upper bound for Bermudan style derivative
Please always quote using this URN:urn:nbn:de:0296-matheon-1355
Author: | Anastasia Kolodko, John Schoenmakers |
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URN: | urn:nbn:de:0296-matheon-1355 |
Referee: | Anton Bovier |
Document Type: | Preprint, Research Center Matheon |
Language: | English |
Date of first Publication: | 2004/11/05 |
Release Date: | 2004/11/05 |
Institute: | Weierstraß-Institut für Angewandte Analysis und Stochastik (WIAS) |
Preprint Number: | 125 |