- Economics - Research Publications
Economics - Research Publications
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ItemA simple derivation of and improvements to Jamshidian’s and Rogers’ upper bound methods for Bermudan optionsJoshi, Mark S. ( 2006-03)The additive method for upper bounds for Bermudanoptions is rephrased in terms of buyer’s and seller’s prices. It isshown how to deduce Jamshidian’s upper bound result in a simplefashion from the additive method, including the case of possiblyzero final pay-off. Both methods are improved by ruling out exerciseat sub-optimal points. It is also shown that it is possible to usesub- Monte Carlo simulations to estimate the value of the hedgingportfolio at intermediate points in the Jamshidian method withoutjeopardizing its status as upper bound.
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ItemMonte Carlo bounds for callable products with non-analytic break costsJOSHI, M (Centre for Actuarial Studies, The University of Melbourne, 2006)