Value Function Approximation or Stopping Time...

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Value Function Approximation or Stopping Time Approximation: A Comparison of Two Recent Numerical Methods for American Option Pricing using Simulation and Regression

Stentoft, Lars
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Year:
2008
Language:
english
Journal:
SSRN Electronic Journal
DOI:
10.2139/ssrn.1315306
File:
PDF, 638 KB
english, 2008
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