Serving the Quantitative Finance Community
Early Exercise of Bermudans in MC
Could someone explain to me how Leif Anderson is setting up his Early Exerciseboundaries when pricing Bermudans in a MC setting?I was hoping for a detailed discussion as i am attempting an actual (pedagogical)implementation of the approach and i must admit i did not quite understand whythe method works. I know i have to read it again,but i was hoping to get someof your insights.