Comparison of low discrepancy mesh methods for pricing Bermudan options under a Lévy process (Q2229844)
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English | Comparison of low discrepancy mesh methods for pricing Bermudan options under a Lévy process |
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Comparison of low discrepancy mesh methods for pricing Bermudan options under a Lévy process (English)
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18 February 2021
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Bermudan option
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low discrepancy mesh method
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Lévy process
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quasi-Monte Carlo
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