Multilevel Simulation Based Policy Iteration for Optimal Stopping--Convergence and Complexity (Q2945162): Difference between revisions

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+A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
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+Pricing Bermudan Options via Multilevel Approximation Methods
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+Multilevel dual approach for pricing American style derivatives
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+Enhanced policy iteration for American options via scenario selection
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+An iterative method for multiple stopping: convergence and stability
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+Multilevel Monte Carlo Path Simulation
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