Snell envelope with small probability criteria (Q1935508)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Snell envelope with small probability criteria |
scientific article |
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Snell envelope with small probability criteria (English)
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18 February 2013
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Snell envelope
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American option
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Bermudan option
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stochastic mesh
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particle methods
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rare events
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