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"Primal-Dual Simulation Algorithm for Pricing Multidimensional American ..."

Leif Andersen, Mark Broadie (2004)

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DOI: 10.1287/MNSC.1040.0258

access: closed

type: Journal Article

metadata version: 2020-06-30

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Leif Andersen, Mark Broadie:
Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options. Manag. Sci. 50(9): 1222-1234 (2004)

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