True Upper Bounds For Bermudan Products Via Non-Nested Monte Carlo
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Mathematical Finance.
Volume (Year): 19 (2009)
Issue (Month): 1 ()
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- John Schoenmakers, 2012. "A pure martingale dual for multiple stopping," Finance and Stochastics, Springer, vol. 16(2), pages 319-334, April.
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