mj
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| Total Posts: 1013 |
| Joined: Jun 2004 |
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http://ssrn.com/abstract=2095988
We have done another paper on upper bounds for Bermudan derivatives with Monte Carlo simulation.
We can get good upper bounds without sub-simulation and optimization without fine-tuning.
They are now fast enough to run routinely.
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More mathematical finance has been published.
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