"On the Use of Policy Iteration as an Easy Way of Pricing American Options."

Christoph Reisinger, Jan Hendrik Witte (2012)

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DOI: 10.1137/110823328

access: closed

type: Journal Article

metadata version: 2022-04-09

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Christoph Reisinger, Jan Hendrik Witte:
On the Use of Policy Iteration as an Easy Way of Pricing American Options. SIAM J. Financial Math. 3(1): 459-478 (2012)

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