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"True martingales for upper bounds on Bermudan option prices under ..."

Name: dblp XML data dump
Creator: Schloss Dagstuhl - Leibniz Center for Informatics
Published: 1993
License: https://creativecommons.org/publicdomain/zero/1.0/
Keywords: dblp, XML, computer science, scholarly publications, metadata

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Helin Zhu, Fan Ye, Enlu Zhou (2013)

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DOI: 10.1109/WSC.2013.6721412

access: closed

type: Conference or Workshop Paper

metadata version: 2021-06-10

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Helin Zhu, Fan Ye, Enlu Zhou:
True martingales for upper bounds on Bermudan option prices under jump-diffusion processes. WSC 2013: 113-124

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last updated on 2021-06-10 22:17 CEST by the dblp team

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