Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates (Q484205)
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scientific article
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| English | Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates |
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Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates (English)
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18 December 2014
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Bermudan options
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nonparametric regression
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boundary condition
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suboptimal stopping rules
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0.92608345
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0.8958341
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0.89059293
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0.88936186
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0.8858435
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0.8839748
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0.88165474
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0.88153756
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0.8807582
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