Simple improvement method for upper bound of American option

Author： Fujii Mika   Matsumoto Koichi   Tsubota Kengo  

Publisher： Taylor & Francis Ltd

ISSN： 1744-2508

Source： Stochastics: An International Journal of Probability and Stochastic Processes, Vol.83, Iss.4-6, 2011-08, pp. : 449-466

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