Pathwise Iteration for Backward SDEs
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References listed on IDEAS
- 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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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-CMP-2016-06-09 (Computational Economics)
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