Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal
分析了百慕大期权原始对偶上界方法的偏差，证明其与子模拟路径数成反比，并提出了估计和减少偏差的方法，数值实验显示有效。
We analyse the primal-dual upper bound method for Bermudan options and prove that its bias is inversely proportional to the number of paths in sub-simulations for a large class of cases. We develop a methodology for estimating and reducing the bias. We present numerical results showing that the new technique is indeed effective.