A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction
Year of publication: |
2013
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Authors: | Jin, Xing ; Li, Xun ; Tan, Hwee Huat ; Wu, Zhenyu |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 2430034. - Vol. 231.2013, 2 (1.12.), p. 362-370
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