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Pricing Bermudan Options via Consumption Processes

In: Advanced Simulation-Based Methods for Optimal Stopping and Control

Author

Listed:
  • Denis Belomestny

    (Universität Duisburg-Essen)

  • John Schoenmakers

    (The Weierstrass Institute)

Abstract

In this chapter we present an alternative approach of constructing upper bounds for the values of discrete time optimal stopping problems based on consumption processes.

Suggested Citation

  • Denis Belomestny & John Schoenmakers, 2018. "Pricing Bermudan Options via Consumption Processes," Palgrave Macmillan Books, in: Advanced Simulation-Based Methods for Optimal Stopping and Control, chapter 0, pages 287-311, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-1-137-03351-2_13
    DOI: 10.1057/978-1-137-03351-2_13
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