7 Pages Posted: 9 May 2013
Date Written: May 8, 2013
We find lower and upper bounds for the price of Bermudan basket options by Monte-Carlo simulation through regression and look at the impact of the choice of random number generator, as well as whether including in-the-money paths or not in the regression.
Keywords: Monte-Carlo, American Option, Bermudan Option, Longstaff-Schwartz
Suggested Citation: Suggested Citation
Le Floc'h, Fabien, Lower and Upper Bounds in the Monte-Carlo Simulation of Bermudan Basket Options (May 8, 2013). Available at SSRN: https://ssrn.com/abstract=2262259 or http://dx.doi.org/10.2139/ssrn.2262259