  This paper develops a new dual approach to compute the hedging portfolio of a
Bermudan option and its initial value. It gives a "purely dual" algorithm
following the spirit of Rogers (2010) in the sense that it only relies on the
dual pricing formula. The key is to rewrite the dual formula as an excess
reward representation and to combine it with a strict convexification
technique. The hedging strategy is then obtained by using a Monte Carlo method,
solving backward a sequence of least square problems. We show convergence
results for our algorithm and test it on many different Bermudan options.
Beyond giving directly the hedging portfolio, the strength of the algorithm is
to assess both the relevance of including financial instruments in the hedging
portfolio and the effect of the rebalancing frequency.
