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3 research outputs found
The Stochastic Grid Bundling Method: Efficient pricing of Bermudan options and their Greeks
Author
Andersen
Bally
+23 more
Barraquand
Belomestny
Broadie
Broadie
Capriotti
Carriere
Clark
Cornelis W. Oosterlee
Fang
Glasserman
Haugh
Jain
Jin
Kaniel
Lloyd
Longstaff
Rasmussen
Rogers
Ruijter
Shashi Jain
Tilley
Tsitsiklis
Wang
Publication venue
'Elsevier BV'
Publication date
Field of study
Full text link
Crossref
Efficient Computation of Hedging Parameters for Discretely Exercisable Options
Author
Alexander Zemlianov
Eric Fourni�
+13 more
Francis Longstaff
J F Carriere
J N Tsitsiklis
L C G Rogers
Leif Andersen
M Davis
Mark Broadie
Martin B Haugh
P W Glynn
Paul Glasserman
R M Dudley
Ron Kaniel
Stathis Tompaidis
Publication venue
'Elsevier BV'
Publication date
01/01/2006
Field of study
No full text
Crossref