Early exercise and Monte Carlo obtaining tight bounds. Mark Joshi Centre for Actuarial Sciences University of Melbourne www.markjoshi.com. Bermudan optionality. A Bermudan option is an option that be exercised on one of a fixed finite numbers of dates.
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Early exercise and Monte Carlo obtaining tight bounds
Centre for Actuarial Sciences
University of Melbourne
continuation value < exercise value
for correct hedge Pt with P0 equals zero.
and value at following time.
Vol. 12, pp. 271-286, 2002