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Persistent link: https://www.econbiz.de/10012283202
In this paper, we propose a Weighted Stochastic Mesh (WSM) algorithm for approximating the value of discrete- and continuous-time optimal stopping problems. In this context, we consider tractability of such problems via a useful notion of semitractability and the introduction of a tractability...
Persistent link: https://www.econbiz.de/10012509538
Persistent link: https://www.econbiz.de/10005023777