Additive and multiplicative duals for American option pricing
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Volume (Year): 11 (2007)
Issue (Month): 2 (April)
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- Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," University of California at Los Angeles, Anderson Graduate School of Management qt43n1k4jb, Anderson Graduate School of Management, UCLA.
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