Belomestny, Denis; Mil¤stejn, Grigorij N. - 2006
SFB 649 Discussion Paper 2006-038
Adaptive Simulation
Algorithms for Pricing
American and Bermudan
Options by Local Analysis
of Financial Market
Denis Belomestny*
Grigori N. Milstein**
* Weierstrass Institute for Applied Analysis
and Stochastics, Berlin,...