Improved lower and upper bound algorithms for pricing American options by simulation
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DOI: 10.1080/14697680701763086
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- Leif Andersen & Mark Broadie, 2004. "Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options," Management Science, INFORMS, vol. 50(9), pages 1222-1234, September.
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Keywords
Financial derivatives; Financial economics; Financial engineering; Implementation of pricing derivatives; Computational finance;All these keywords.
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