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Forest of stochastic meshes: A new method for valuing high-dimensional swing options
Marshall, T.J.; Reesor, R. Mark - In: Operations research letters 39 (2011) 1, pp. 17-22
Persistent link: https://www.econbiz.de/10008780833
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Forest of stochastic meshes : a new method for valuing high-dimensional swing options
Marshall, T. J.; Reesor, R. Mark - In: Operations research letters 39 (2011) 1, pp. 17-21
Persistent link: https://www.econbiz.de/10008856904
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Lower bounds for American option prices with control variates
Boire, François-Michel; Reesor, R. Mark; Stentoft, Lars - In: Operations research letters 51 (2023) 6, pp. 568-574
Persistent link: https://www.econbiz.de/10014465726