A Simple Derivation of and Improvements to Jamshidian's and...

A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options

Joshi, Mark S.
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Volume:
14
Language:
english
Journal:
Applied Mathematical Finance
DOI:
10.1080/13504860600858071
Date:
July, 2007
File:
PDF, 313 KB
english, 2007
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