Helin Zhu, Fan Ye Enlu Zhou. True martingales for upper bounds on Bermudan option prices under jump-diffusion processes. In Winter Simulations Conference: Simulation Making Decisions in a Complex World, WSC 2013, Washington, DC, USA, December 8-11, 2013. pages 113-124, IEEE, 2013. [doi]
@inproceedings{ZhuZ13-11,
title = {True martingales for upper bounds on Bermudan option prices under jump-diffusion processes},
author = {Helin Zhu and Fan Ye Enlu Zhou},
year = {2013},
doi = {10.1109/WSC.2013.6721412},
url = {http://dx.doi.org/10.1109/WSC.2013.6721412},
researchr = {https://researchr.org/publication/ZhuZ13-11},
cites = {0},
citedby = {0},
pages = {113-124},
booktitle = {Winter Simulations Conference: Simulation Making Decisions in a Complex World, WSC 2013, Washington, DC, USA, December 8-11, 2013},
publisher = {IEEE},
}