"Optimal Dual Martingales, Their Analysis, and Application to New ..."

John Schoenmakers, Jianing Zhang, Junbo Huang (2013)

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DOI: 10.1137/110832513

access: closed

type: Journal Article

metadata version: 2017-05-17

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John Schoenmakers, Jianing Zhang, Junbo Huang:
Optimal Dual Martingales, Their Analysis, and Application to New Algorithms for Bermudan Products. SIAM J. Financial Math. 4(1): 86-116 (2013)

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