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True martingales for upper bounds on Bermudan option prices under jump-diffusion processes

Helin Zhu, Fan Ye Enlu Zhou. True martingales for upper bounds on Bermudan option prices under jump-diffusion processes. In Winter Simulations Conference: Simulation Making Decisions in a Complex World, WSC 2013, Washington, DC, USA, December 8-11, 2013. pages 113-124, IEEE, 2013. [doi]

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Helin Zhu

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Fan Ye Enlu Zhou

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