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    MANSCI
    2006
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    Pricing American-Style Derivatives with European Call Options
    13 years 11 months ago
    Pricing American-Style Derivatives with European Call Options
    Download  www.ieor.berkeley.edu
    We present a new approach to pricing American-style derivatives that is applicable to any Markovian setting (i.e., not limited to geometric Brownian motion) for which European cal...
    Scott B. Laprise, Michael C. Fu, Steven I. Marcus,...
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