A simple derivation of and improvements to Jamshidian's and Rogers' upper bound methods for Bermudan options

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    14
    Author
    JOSHI, M
    Date
    2007
    Source Title
    Applied Mathematical Finance
    University of Melbourne Author/s
    Joshi, Mark
    Affiliation
    Economics
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    Document Type
    Journal Article
    Citations
    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.
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    URI
    http://hdl.handle.net/11343/29513
    DOI
    10.1080/13504860600858071
    Keywords
    Banking; Finance and Investment

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