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Iterative construction of the optimal Bermudan stopping time |
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| Authors: | Anastasia Kolodko John Schoenmakers |
| Institution: | (1) Weierstrass Institute for Applied Analysis and Stochastics, Mohrenstr. 39, 10117 Berlin, Germany;(2) Institute of Computational Mathematics and Mathematical Geophysics, Prosp. Lavrentjeva 6, 630090 Novosibirsk, Russia |
| Abstract: | |
| Keywords: | Bermudan options optimal stopping Monte Carlo simulation LIBOR market model |
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