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FS
2006
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FS 2006
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Iterative construction of the optimal Bermudan stopping time
13 years 8 months ago
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www.wias-berlin.de
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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