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Addendum to: Multilevel dual approach for pricing American style derivatives

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Abstract

In this note, we show how the dual approach in its particular form presented in Andersen and Broadie (Manag. Sci. 50:1222–1234, 2004) can be fitted into the framework of the recent work (Belomestny et al., Finance Stoch. 17:717–742, 2013).

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References

  1. Andersen, L., Broadie, M.: A primal–dual simulation algorithm for pricing multidimensional American options. Manag. Sci. 50, 1222–1234 (2004)

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Authors and Affiliations

  1. Duisburg-Essen University, Thea-Leymann-Str. 9, 45127, Essen, Germany

    Denis Belomestny

  2. Higher School of Economics, National Research University, Moscow, Russia

    Denis Belomestny

  3. Centre for Actuarial Studies, Department of Economics, University of Melbourne, VIC, 3010, Australia

    Mark Joshi

  4. Weierstrass Institute for Applied Analysis and Stochastics, Mohrenstr. 39, 10117, Berlin, Germany

    John Schoenmakers

Authors
  1. Denis Belomestny
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  2. Mark Joshi
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  3. John Schoenmakers
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Correspondence to Mark Joshi.

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Belomestny, D., Joshi, M. & Schoenmakers, J. Addendum to: Multilevel dual approach for pricing American style derivatives. Finance Stoch 19, 681–684 (2015). https://doi.org/10.1007/s00780-015-0267-x

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  • DOI: https://doi.org/10.1007/s00780-015-0267-x

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