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"Recursive lower and dual upper bounds for Bermudan-style options."

Alfredo Ibáñez, Carlos Velasco (2020)

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DOI: 10.1016/J.EJOR.2019.07.031

access: closed

type: Journal Article

metadata version: 2020-02-21

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Alfredo Ibáñez, Carlos Velasco:
Recursive lower and dual upper bounds for Bermudan-style options. Eur. J. Oper. Res. 280(2): 730-740 (2020)

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