Pricing Bermudan Options via Consumption Processes

Denis Belomestny () and John Schoenmakers
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Denis Belomestny: Universität Duisburg-Essen
John Schoenmakers: The Weierstrass Institute

Chapter Chapter 13 in Advanced Simulation-Based Methods for Optimal Stopping and Control, 2018, pp 287-311 from Palgrave Macmillan

Abstract: Abstract In this chapter we present an alternative approach of constructing upper bounds for the values of discrete time optimal stopping problems based on consumption processes.

Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-03351-2_13

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DOI: 10.1057/978-1-137-03351-2_13

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