"Linear-time accurate lattice algorithms for tail conditional expectation."

Bryant Chen et al. (2014)

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DOI: 10.3233/AF-140034

access: closed

type: Journal Article

metadata version: 2017-05-17

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Bryant Chen, William W. Y. Hsu, Jan-Ming Ho, Ming-Yang Kao:
Linear-time accurate lattice algorithms for tail conditional expectation. Algorithmic Finance 3(1-2): 87-140 (2014)

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