A new class of dual upper bounds for early exercisable derivatives encompassing both the additive and multiplicative bounds.
Mark S. JoshiPublished in: Oper. Res. Lett. (2015)
Keyphrases
- upper bound
- lower bound
- upper and lower bounds
- lower and upper bounds
- tight bounds
- worst case
- branch and bound
- branch and bound algorithm
- vc dimension
- upper bounding
- partition function
- efficiently computable
- linear functions
- sample complexity
- closed form expressions
- objective function
- sample size
- higher order
- np hard
- support vector