Calibration to American options: numerical investigation of the de-Americanization method

O. Burkovska, M. Gass, K. Glau, M. Mahlstedt, W. Schoutens, B. Wohlmuth
  • Quantitative Finance, February 2018, Taylor & Francis
  • DOI: 10.1080/14697688.2017.1417622
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