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Stochastics
An International Journal of Probability and Stochastic Processes
Volume 83, 2011 - Issue 4-6: Optimal stopping with Applications
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Original Articles

Simple improvement method for upper bound of American option

, &
Pages 449-466 | Received 08 Oct 2009, Accepted 23 Aug 2010, Published online: 08 Jun 2011

References

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  • Jamshidian , F. 2003 . Minimax optimality of Bermudan and American claims and their Monte-Carlo upper bound approximation , The Hague : NIB Capital . Available at http://www.finance-research.net/enaa203t3_jamshidian.html
  • Joshi , M.S. 2007 . A simple derivation of and improvements to Jamshidian's and Rogers' upper bound methods for Bermudan options . Appl. Math. Finance , 14 : 197 – 205 .
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