Pricing American options : a duality approach
Author(s)Kogan, Leonid; Haugh, Martin B.
Sloan School of Management.
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Title from cover."December 2001.""An earlier draft of this paper was titled Pricing high-dimensional American options : a duality approach."--Abstract.
[Cambridge, Mass. : Alfred P. Sloan School of Management, Massachusetts Institute of Technology]
Working paper (Sloan School of Management) ; 4340.