A survey of some regression-based and duality methods to value American and Bermudan options Bernard Joseph.
Includes abstract. === Includes bibliographical references. === We give a review of regression-based Monte Carlo methods for pricing high-dimensional American and Bermudan options for which backwards methods such as lattice and PDE methods do not work. The continuous-time pricing problem is approxim...
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| Format: | Dissertation |
| Language: | English |
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University of Cape Town
2014
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| Online Access: | http://hdl.handle.net/11427/6076 |