A survey of some regression-based and duality methods to value American and Bermudan options

Master Thesis

2013

Permanent link to this Item
http://hdl.handle.net/11427/4893
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thesis_sci_2013_bernard_j.pdf (694.5 KB)
Authors
Joseph, Bernard
Supervisors
Becker, Ronald
Journal Title
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Publisher
Publisher

University of Cape Town

Department
Department of Mathematics and Applied Mathematics
Faculty
Faculty of Science
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Abstract
Includes abstract. Includes bibliographical references.
Description
Keywords
Mathematical Finance

Reference:

Joseph, B. 2013. A survey of some regression-based and duality methods to value American and Bermudan options. Thesis. University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics. http://hdl.handle.net/11427/4893

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