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- W2010451189 abstract "In this paper, we propose an estimator for pricing high-dimensional American-style options and show that asymptotically its upper bias converges to zero. An advantage of the proposed estimator is that when combined with low discrepancy sequences, it exhibits a superior rate of convergence. Numerical examples are conducted to demonstrate its efficiency." @default.
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- W2010451189 title "An improved simulation method for pricing high-dimensional American derivatives" @default.
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- W2010451189 doi "https://doi.org/10.1016/s0378-4754(02)00248-3" @default.
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