Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal
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Publication:5001149
DOI10.1080/14697688.2015.1086490zbMath1468.91190OpenAlexW3123112467MaRDI QIDQ5001149
Publication date: 16 July 2021
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2015.1086490
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)
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