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Balder et al., 2013 - Google Patents

Primal–dual linear Monte Carlo algorithm for multiple stopping—an application to flexible caps

Balder et al., 2013

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Document ID
17314102588976518269
Author
Balder S
Mahayni A
Schoenmakers J
Publication year
Publication venue
Quantitative Finance

External Links

Snippet

In this paper we consider the valuation of Bermudan callable derivatives with multiple exercise rights. We present in this context a new primal–dual linear Monte Carlo algorithm that allows for efficient simulation of the lower and upper price bounds without using nested …
Continue reading at www.researchgate.net (PDF) (other versions)

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