Primal–dual linear Monte Carlo algorithm for multiple stopping—an application to flexible caps
Work
Year: 2013
Type: article
Abstract: In this paper we consider the valuation of Bermudan callable derivatives with multiple exercise rights. We present in this context a new primal–dual linear Monte Carlo algorithm that allows for effic... more
Source: Quantitative Finance
Institutions University of Duisburg-Essen, Weierstrass Institute for Applied Analysis and Stochastics
Cites: 22
Cited by: 8
Related to: 10
FWCI: 0.329
Citation percentile (by year/subfield): 74.96
Subfield: Finance
Domain: Social Sciences
Open Access status: green