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Статья

Addendum to: Multilevel dual approach for pricing American style derivatives

Finance and Stochastics. 2015. Vol. 19. No. 3. P. 681-684.
Belomestny D., Joshi M., Schoenmakers J.

In this note, we show how the dual approach in its particular form presented in Andersen and Broadie (Manag. Sci. 50:1222–1234, 2004) can be fitted into the framework of the recent work (Belomestny et al., Finance Stoch. 17:717–742, 2013).