Pathwise derivative methods on single-asset American option sensitivity estimation - researchr publication

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Nan Chen, Yanchu Liu. Pathwise derivative methods on single-asset American option sensitivity estimation. In Proceedings of the 2010 Winter Simulation Conference, WSC 2010, Baltimore, Maryland, USA, 5-8 December 2010. pages 2721-2731, WSC, 2010. [doi]

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