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    2004
    99views Modeling And Simulation» more  WSC 2004»
    Function-Approximation-Based Importance Sampling for Pricing American Options
    13 years 6 months ago
    Function-Approximation-Based Importance Sampling for Pricing American Options
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    Monte Carlo simulation techniques that use function approximations have been successfully applied to approximately price multi-dimensional American options. However, for many pric...
    Nomesh Bolia, Sandeep Juneja, Paul Glasserman
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