Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies

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Publication:1994388

DOI10.1016/j.jedc.2013.12.001zbMath1402.91893OpenAlexW3125254289MaRDI QIDQ1994388

Mark S. Joshi, Robert L. Tang

Publication date: 1 November 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2013.12.001




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