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dc.date.accessioned2013-03-12T08:17:57Z
dc.date.available2013-03-12T08:17:57Z
dc.date.issued2009en_US
dc.date.submitted2011-07-14en_US
dc.identifier.urihttp://hdl.handle.net/10852/10377
dc.description.abstractA great challenge using the traditional regression based Bermuda option valuation based on Longstaff and Schwartz (LS) (see Longstaff and Schwartz [10]) is the stability of solutions for different basis functions. In this paper we develop an alternative method in the spirit of LS which is less challenging with respect to proper choice of basis functions. The method also makes it possible to quantify the probability of exercise at future nodes in a Bermuda option when moving backward in time. We will apply the method to valuation of target redemption notes with early exercise features under stochastic interest rates based on a LIBOR market model.eng
dc.language.isoengen_US
dc.publisherMatematisk Institutt, Universitetet i Oslo
dc.relation.ispartofPreprint series. Statistical Research Report http://urn.nb.no/URN:NBN:no-23420en_US
dc.relation.urihttp://urn.nb.no/URN:NBN:no-23420
dc.titleValuing target redemption notes by a stratified Longstaff Schwartz algorithmen_US
dc.typeResearch reporten_US
dc.date.updated2011-07-14en_US
dc.creator.authorBenth, Fred Espenen_US
dc.creator.authorHenriksen, Pål Nicolaien_US
dc.subject.nsiVDP::410en_US
dc.identifier.urnURN:NBN:no-28498en_US
dc.type.documentForskningsrapporten_US
dc.identifier.duo132643en_US
dc.identifier.fulltextFulltext https://www.duo.uio.no/bitstream/handle/10852/10377/1/stat-res-04-09.pdf


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