"Fast Lower and Upper Estimates for the Price of Constrained Multiple ..."

Nicolas Essis-Breton, Patrice Gaillardetz (2020)

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DOI: —

access: open

type: Informal or Other Publication

metadata version: 2020-03-03

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  dblp key:
  - journals/corr/abs-2002-11258
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  - https://dblp.org/rec/journals/corr/abs-2002-11258
Nicolas Essis-Breton, Patrice Gaillardetz:
Fast Lower and Upper Estimates for the Price of Constrained Multiple Exercise American Options by Single Pass Lookahead Search and Nearest-Neighbor Martingale. CoRR abs/2002.11258 (2020)

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