A simple derivation of and improvements to Jamshidian's and Rogers' upper bound methods for Bermudan options
Author
JOSHI, MDate
2007Source Title
Applied Mathematical FinanceUniversity of Melbourne Author/s
Joshi, MarkAffiliation
EconomicsMetadata
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Journal ArticleCitations
JOSHI, M. (2007). A simple derivation of and improvements to Jamshidian's and Rogers' upper bound methods for Bermudan options. Applied Mathematical Finance, 14 (3), pp.197-206. https://doi.org/10.1080/13504860600858071.Access Status
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