Number of paths versus number of basis functions in American option pricing (Q1769425)
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scientific article
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| English | Number of paths versus number of basis functions in American option pricing |
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Number of paths versus number of basis functions in American option pricing (English)
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21 March 2005
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optimal stopping
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Monte Carlo methods
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dynamic programming
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orthogonal polynomials
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finance
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0.8807305
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0.8576766
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0.8552603
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