"Pathwise derivative methods on single-asset American option sensitivity ..."

Nan Chen, Yanchu Liu (2010)

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DOI: 10.1109/WSC.2010.5678967

access: closed

type: Conference or Workshop Paper

metadata version: 2021-06-10

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  - https://dblp.org/rec/conf/wsc/ChenL10a
Nan Chen, Yanchu Liu:
Pathwise derivative methods on single-asset American option sensitivity estimation. WSC 2010: 2721-2731

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