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A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options

Egloff, Daniel and Kohler, Michael and Todorovic, Nebojsa (2007):
A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options.
17, In: Annals of Applied Probability, pp. 1138-1171, [Article]

Item Type: Article
Erschienen: 2007
Creators: Egloff, Daniel and Kohler, Michael and Todorovic, Nebojsa
Title: A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options
Language: English
Journal or Publication Title: Annals of Applied Probability
Volume: 17
Divisions: 04 Department of Mathematics
Date Deposited: 20 Nov 2008 08:27
License: [undefiniert]
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