Shigeo Kusuoka
Graduate School of Mathematical Sciences, The University of Tokyo, 3-8-1 Komaba, Meguro-ku, Tokyo 153-8914, Japan
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Adv. Math. Econ. Volume 5, pp.153-166 (2003)
Monte Carlo method for pricing of Bermuda type derivatives
Shigeo Kusuoka
Graduate School of Mathematical Sciences, The University of Tokyo, 3-8-1 Komaba, Meguro-ku, Tokyo 153-8914, Japan
- The author gives a rigorous justification of a certain Monte Carlo Method for pricing of Bermuda type derivatives given by Longstaff-Schwartz.
- Mathematical finance, Monte Carlo method
