Comparing optimal convergence rate of stochastic mesh and least squares method for bermudan option pricing

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]

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