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"Pricing Bounds for Volatility Derivatives via Duality and Least Squares ..."
Ivan Guo, Grégoire Loeper (2018)
- Ivan Guo, Grégoire Loeper:
Pricing Bounds for Volatility Derivatives via Duality and Least Squares Monte Carlo. J. Optim. Theory Appl. 179(2): 598-617 (2018)
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