The obstacle version of the geometric dynamic programming principle: application to the pricing of American options under constraints

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Publication:964746

DOI10.1007/s00245-009-9084-yzbMath1185.49029OpenAlexW1989376889MaRDI QIDQ964746

Bruno Bouchard, Thanh Nam Vu

Publication date: 20 April 2010

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-009-9084-y




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