Addendum to: Multilevel dual approach for pricing American style derivatives

Denis Belomestny (), Mark Joshi and John Schoenmakers ()

Finance and Stochastics, 2015, vol. 19, issue 3, 684 pages

Abstract: In this note, we show how the dual approach in its particular form presented in Andersen and Broadie (Manag. Sci. 50:1222–1234, 2004 ) can be fitted into the framework of the recent work (Belomestny et al., Finance Stoch. 17:717–742, 2013 ). Copyright Springer-Verlag Berlin Heidelberg 2015

Keywords: Optimal stopping; Dual approach; Multilevel Monte Carlo; 91G60; 65C05; 60G40; G10; G12; G13 (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1007/s00780-015-0267-x

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