Article ID Journal Published Year Pages File Type
1142270 Operations Research Letters 2015 5 Pages PDF
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.

Related Topics
Physical Sciences and Engineering Mathematics Discrete Mathematics and Combinatorics
Authors
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