Parallel pricing algorithms for multi-dimensional Bermudan/American options using Monte Carlo methods (Q622185): Difference between revisions

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+An improved simulation method for pricing high-dimensional American derivatives.
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+The Valuation of American Options on Multiple Assets
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+Option pricing: A simplified approach
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+Parameters for Integrating Periodic Functions of Several Variables
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+Valuing American Options by Simulation: A Simple Least-Squares Approach
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+Large-Scale Scientific Computing
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+Optimal quadratic quantization for numerics: the Gaussian case
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