A pure dual approach for hedging Bermudan options

By Aurélien Alfonsi, Ahmed Kebaier, Jérôme Lelong

Published 2024-04-30

Everscope rating

1762.1

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Pure dual algorithm. Problem types: Option Pricing, Hedging.

arXiv:2404.18761 · Paper rankings

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