Lecture Computational Finance / Numerical Methods 24: American Monte-Carlo,  Bermudan Options (1/2)
Channel: finmath
Date: 2020-07-26

The first of two sessions on American Monte-Carlo, the valuation of Bermudan options and the estimation of conditional expectation in a Monte-Carlo simulation.

- Bermudan options and conditional expectation
- Optimal exercise stopping time
- Backward algorithm
- Full re-simulation
- Perfect foresight