TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO

By Denis Belomestny, Christian Bender, John Schoenmakers. 2009

99 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/df77e52aa0cdc772a77a54c3e5cc7a510a2d6e59

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. J. Zhuo
2. Nikolaus Schweizer
3. Christian Bender
4. Joachim Lebovits
5. Frederi G. Viens
6. David Nualart
7. Oana Mocioalca
8. Patrick Cheridito

In Finance

1. J. Zhuo
2. Nikolaus Schweizer
3. Christian Bender
4. Arnulf Jentzen
5. W. E
6. Jiequn Han
7. Joachim Lebovits
8. Jessica Steiner

In Statistics and Probability

1. J. Zhuo
2. Nikolaus Schweizer
3. Christian Bender

Citations in the corpus

• A PRIMAL–DUAL ALGORITHM FOR BSDES (2013, methodology): “Belomestny et al. (2009). As a trade-off between computational time and accuracy, we approximate this expectation via quantization of the one-dimensional standard normal distribution with 21 grid points. In the implementation with by = 7 basis functions we additional apply x1, . . . , x5 as basis fu”