Sensitivities for Bermudan options by regression methods

Denis Belomestny, G. Milstein () and John Schoenmakers ()

Decisions in Economics and Finance, 2010, vol. 33, issue 2, 117-138

Keywords: American and Bermudan options; Optimal stopping times; Monte Carlo simulation; Deltas; Conditional probabilistic representations; Regression methods; C15; C61 (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://hdl.handle.net/10.1007/s10203-009-0101-z (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:decfin:v:33:y:2010:i:2:p:117-138

Ordering information: This journal article can be ordered from
http://www.springer. ... ry/journal/10203/PS2

DOI: 10.1007/s10203-009-0101-z

Access Statistics for this article

Decisions in Economics and Finance is currently edited by Paolo Ghirardato

More articles in Decisions in Economics and Finance from Springer, Associazione per la Matematica
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().