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    2004
    136views Modeling And Simulation» more  WSC 2004»
    Monte Carlo Methods for American Options
    13 years 6 months ago
    Monte Carlo Methods for American Options
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    We review the basic properties of American options and the difficulties of applying Monte Carlo valuation to American options. Recent progress on the Least Squares Monte Carlo (LS...
    Russel E. Caflisch, Suneal Chaudhary
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