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International conference "Stochastic Optimization and Optimal Stopping"
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Plenary talks
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Multilevel primal and dual approaches for pricing American options John Schoenmakers Weierstrass Institute, Berlin |
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Abstract: In this talk we propose two novel simulation based approaches for pricing American options. The first one is a multilevel version of the well-known nested Monte Carlo algorithm of Andersen and Broadie (2004), whereas the second one is a multi level version of simulation based policy iteration. Language: English |
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