Ankush Agarwal, Sandeep Juneja. Comparing optimal convergence rate of stochastic mesh and least squares method for bermudan option pricing. In Winter Simulations Conference: Simulation Making Decisions in a Complex World, WSC 2013, Washington, DC, USA, December 8-11, 2013. pages 701-712, IEEE, 2013. [doi]
@inproceedings{AgarwalJ13-0,
title = {Comparing optimal convergence rate of stochastic mesh and least squares method for bermudan option pricing},
author = {Ankush Agarwal and Sandeep Juneja},
year = {2013},
doi = {10.1109/WSC.2013.6721463},
url = {http://dx.doi.org/10.1109/WSC.2013.6721463},
researchr = {https://researchr.org/publication/AgarwalJ13-0},
cites = {0},
citedby = {0},
pages = {701-712},
booktitle = {Winter Simulations Conference: Simulation Making Decisions in a Complex World, WSC 2013, Washington, DC, USA, December 8-11, 2013},
publisher = {IEEE},
}