American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach
Author:
Publisher
Institute for Operations Research and the Management Sciences (INFORMS)
Subject
Management Science and Operations Research,Computer Science Applications
Link
https://pubsonline.informs.org/doi/pdf/10.1287/opre.2014.1273
Reference45 articles.
1. Factor dependence of Bermudan swaptions: fact or fiction?
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