A nonparametric method for pricing and hedging American options

Guiyun Feng, Guangwu Liu, Lihua Sun. A nonparametric method for pricing and hedging American options. In Winter Simulations Conference: Simulation Making Decisions in a Complex World, WSC 2013, Washington, DC, USA, December 8-11, 2013. pages 691-700, IEEE, 2013. [doi]

Authors

Guiyun Feng

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Guangwu Liu

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Lihua Sun

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