Additive and multiplicative duals for American option pricing
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Finance,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s00780-006-0031-3.pdf
Reference15 articles.
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3. Bolia, N., Glasserman, P., Juneja, S.: Function-approximation-based importance sampling for pricing American options. In: Proceedings of the 2004 Winter Simulation Conference, pp. 604–611 (2004)
4. Broadie M. and Glasserman P. (1997). Pricing American-style securities by simulation. J. Econ. Dyn. Control 21: 1323–1352
5. Broadie M. and Glasserman P. (2004). A stochastic mesh method for pricing high-dimensional American options. J. Comput. Finance 7: 35–72
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