Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity (Q2917427)

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Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity
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    Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity (English)
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    28 September 2012
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    American option
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    Bermudan option
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    simulation
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    exercise region
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    Snell envelope
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    dynamic programming
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