A new approach for an unitary risk theory
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References listed on IDEAS
- Denis Belomestny & John Schoenmakers & Fabian Dickmann, 2013. "Multilevel dual approach for pricing American style derivatives," Finance and Stochastics, Springer, vol. 17(4), pages 717-742, October.
- Denis Belomestny, 2009. "Pricing Bermudan options using nonparametric regression: optimal rates of convergence for lower estimates," Papers 0907.5599, arXiv.org.
- 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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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-03-09 (All new papers)
- NEP-RMG-2013-03-09 (Risk Management)
- NEP-UPT-2013-03-09 (Utility Models & Prospect Theory)
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