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Additive and multiplicative duals for American option pricing
Chen, Nan; Glasserman, Paul - In: Finance and stochastics 11 (2007) 2, pp. 153-179
Persistent link: https://www.econbiz.de/10003439750
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Hedging American contingent claims with constrained portfolios
Karatzas, Ioannis - In: Finance and stochastics 2 (1998) 3, pp. 215-258
Persistent link: https://www.econbiz.de/10001243272
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Connecting discrete and continuous path-dependent options
Broadie, Mark; Glasserman, Paul; Kou, S. G. - In: Finance and stochastics 3 (1999) 1, pp. 55-82
Persistent link: https://www.econbiz.de/10001367460
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Additive and multiplicative duals for American option pricing
Chen, Nan; Glasserman, Paul - In: Finance and stochastics 11 (2007) 2, pp. 153-180
Persistent link: https://www.econbiz.de/10008222023