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New Iterative Calculation of American-style Derivatives - A Lower Approximation of the Snell Envelope
New Iterative Calculation of American-style Derivatives - A Lower Approximation of the Snell Envelope This is the abstract of a paper that presents an iterative procedure for computing the lower ...- Authors: Dian Zhu
- Date: Jan 2008
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods