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http://hdl.handle.net/1813/9176
| Title: | An analysis of the Longstaff-Schwartz algorithm for American option pricing |
| Authors: | Clement, E.
Lamberton, D.
Protter, P. |
| Keywords: | Operations Research
Industrial Engineering
technical report |
| Issue Date: | Sep-2001 |
| Publisher: | Cornell University Operations Research and Industrial Engineering |
| Citation: | 1296 |
| Abstract: | An analysis of the Longstaff-Schwartz algorithm for American option pricing |
| URI: | http://hdl.handle.net/1813/9176 |
| Appears in Collections: | ORIE Technical Reports
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