Analyzing the Bias in the Primal-dual Upper Bound Method for Early Exercisable Derivatives: Bounds, Estimation and Removal
نویسنده
چکیده
We analyze the primal-dual upper bound method and prove that its bias is inversely proportional to the number of paths in sub-simulations for a large class of cases. We develop a methodology for estimating and reducing the bias. We present numerical results showing that the new technique is indeed effective.
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