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Lower bounds for American option prices with control variates.

François-Michel BoireR. Mark ReesorLars Stentoft
Published in: Oper. Res. Lett. (2023)
Keyphrases
  • lower bound
  • upper bound
  • control method
  • control system
  • principal components
  • control strategy
  • branch and bound algorithm
  • neural network
  • decision making
  • optimal solution
  • vc dimension