Auteur Christopher Beveridge
Documents disponibles écrits par cet auteur (1)
Affiner la recherche
Article : texte imprimé
Christopher Beveridge, Auteur ; Mark Joshi, Auteur |We introduce two new methods to calculate bounds for zero-sum game options using Monte Carlo simulation. These extend and generalize upper-bound duality results to the case where both parties of a contract have Bermudan optionality. It is shown [...]
