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The Effect of Nonsmooth Payoffs on the Penalty Approximation of American Options.

Sam D. HowisonChristoph ReisingerJan Hendrik Witte
Published in: SIAM J. Financial Math. (2013)
Keyphrases
  • neural network
  • united states
  • payoff functions
  • approximation algorithms
  • convex functions
  • data sets
  • objective function
  • nash equilibrium
  • feature selection
  • rough sets
  • error bounds
  • greedy algorithm