"American Option Sensitivities Estimation via a Generalized Infinitesimal ..."

Nan Chen, Yanchu Liu (2014)

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DOI: 10.1287/OPRE.2014.1273

access: closed

type: Journal Article

metadata version: 2020-03-31

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Nan Chen, Yanchu Liu:
American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach. Oper. Res. 62(3): 616-632 (2014)

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