Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1142270 | Operations Research Letters | 2015 | 5 Pages |
Abstract
We present a new class of upper bounds for the Monte Carlo pricing of Bermudan derivatives. This class contains both the additive and multiplicative upper bounds as special cases. We also see that the hypothesis that the pay-off is positive for the multiplicative upper bound is unnecessary. The variance of these upper bounds is zero when the optimal hedge is chosen.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Discrete Mathematics and Combinatorics
Authors
Mark S. Joshi,