An analysis of the Longstaff-Schwartz algorithm for American option pricing

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http://hdl.handle.net/1813/9176
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Author
Clement, E.; Lamberton, D.; Protter, P.
Abstract
An analysis of the Longstaff-Schwartz algorithm for American option pricing
Date Issued
2001-09
Publisher
Cornell University Operations Research and Industrial Engineering
Subject
Operations Research; Industrial Engineering; technical report
Previously Published As
1296
Type
Technical Report

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