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    Iterative construction of the optimal Bermudan stopping time
    14 years 21 days ago
    Iterative construction of the optimal Bermudan stopping time
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    Abstract. We present an iterative procedure for computing the optimal Bermudan stopping time, hence the Bermudan Snell envelope. The method produces an increasing sequence of appro...
    Anastasia Kolodko, John Schoenmakers
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