Multi-asset American options and parallel quantization
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Publication:370907
DOI10.1007/s11009-011-9265-4zbMath1273.91457OpenAlexW2077333964MaRDI QIDQ370907
Anne Laure Bronstein, Jacques Portès, Gilles Pagès
Publication date: 20 September 2013
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-011-9265-4
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Parallel numerical computation (65Y05)
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