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Parallel Pricing Algorithms for Multi--Dimensional Bermudan/American Options using Monte Carlo methods
Mireille Bossy
Françoise Baude
Viet Dung Doan
Abhijeet Gaikwad
Ian Stokes-Rees
Published in:
CoRR (2008)
Keyphrases
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monte carlo methods
multi dimensional
monte carlo
theoretical analysis
neural network
learning algorithm
clustering algorithm
bayesian networks
markov chain
mathematical model
low discrepancy sequences