Article ID Journal Published Year Pages File Type
5098635 Journal of Economic Dynamics and Control 2013 20 Pages PDF
Abstract
Results are provided for the displaced-diffusion LIBOR market model, demonstrating that our practical policy iteration algorithm can be used to obtain tight lower bounds for cancellable CMS steepener, snowball and vanilla swaps in similar times to the basic least-squares method.
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Related Topics
Physical Sciences and Engineering Mathematics Control and Optimization
Preview
Practical policy iteration: Generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
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