On the primal-dual algorithm for callable Bermudan options

Review of Derivatives Research 2013 / 04 Vol. 16; Iss. 1

On the primal-dual algorithm for callable Bermudan options

Maximilian L. Mair, Jan H. Maruhn
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Volume:
16
Language:
english
DOI:
10.1007/s11147-012-9078-9
Date:
April, 2013
File:
PDF, 389 KB
english, 2013
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