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Finding the optimal exercise time for American
warrants
on WIG20 futures (Wyznaczanie optymalnego momentu wykonania warrantów amerykańskich na kontrakty futures na indeks WIG20)
Stawiarski, Bartosz
-
Hugo Steinhaus Center for Stochastic Methods, …
-
2004
Using dynamic programming techniques the optimal exercise time for American
warrants
on WIG20 futures is found. …
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