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Addendum to: Multilevel dual approach for pricing American style derivatives

Author

Listed:
  • Denis Belomestny
  • Mark Joshi
  • John Schoenmakers

Abstract

In this note, we show how the dual approach in its particular form presented in Andersen and Broadie (Manag. Sci. 50:1222–1234, 2004 ) can be fitted into the framework of the recent work (Belomestny et al., Finance Stoch. 17:717–742, 2013 ). Copyright Springer-Verlag Berlin Heidelberg 2015

Suggested Citation

  • Denis Belomestny & Mark Joshi & John Schoenmakers, 2015. "Addendum to: Multilevel dual approach for pricing American style derivatives," Finance and Stochastics, Springer, vol. 19(3), pages 681-684, July.
    • Handle: RePEc:spr:finsto:v:19:y:2015:i:3:p:681-684
    DOI: 10.1007/s00780-015-0267-x
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    Cited by:

    1. Mark S. Joshi, 2016. "Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal," Quantitative Finance, Taylor & Francis Journals, vol. 16(4), pages 519-533, April.

    More about this item

    Keywords

    Optimal stopping; Dual approach; Multilevel Monte Carlo; 91G60; 65C05; 60G40; G10; G12; G13;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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