Mark Joshi

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We introduce two new methods to calculate bounds for zero-sum game options using Monte Carlo simulation. These extend and generalise the duality results of Haugh–Kogan/Rogers and Jamshidian to the case where both parties of a contract have Bermudan optionality. It is shown that the Andersen–Broadie method can still be used as a generic way to obtain bounds(More)
In this article we propose a novel approach to reduce the computational complexity of the dual method for pricing American options. We consider a sequence of martingales that converges to a given target martingale and decompose the original dual representation into a sum of representations that correspond to different levels of approximation to the target(More)
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