Convergence Speed of Bermudan, Randomized Bermudan, and Canadian Options
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DOI: 10.3390/math13020213
Abstract: American options have long received considerable attention in the literature, with numerous publications dedicated to their pricing. Bermudan and randomized Bermudan options are broadly used to estimate their prices efficiently. Notably, the penalty method yields… read more here.
Keywords: convergence speed; bermudan; randomized bermudan; bermudan randomized ... See more keywords