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Nowadays many financial derivatives, such as American or Bermudan options, are of early exercise type.
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Andersen, L · 2000
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Broadie, M., Glasserman, P., and Ha, Z · 2000
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Longstaff, F. A., and Schwartz, E. S · 2001
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Tsitsiklis, J. N., and Van Roy, B · 2001
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Convergence and biases of Monte Carlo estimates of American option prices using a parametric exercise rule
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Shreve, S. E · 2004
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Belomestny, D., Schoenmakers, J., and Dickmann, F · 2013
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Optimal dual martingales, their analysis, and application to new algorithms for Bermudan products
Schoenmakers, J., Zhang, J., and Huang, J · 2013
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A method for pricing American options using semi-infinite linear programming
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Bender, C., Kolodko, A., and Schoenmakers, J · 2006
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Kolodko, A., and Schoenmakers, J · 2006
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Optimal Stopping and Free-Boundary Problems
Peskir, G., and Shiryaev, A · 2006
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Additive and multiplicative duals for American option pricing
Chen, N., and Glasserman, P · 2007
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A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options
Egloff, D., Kohler, M., and Todorovic, N · 2007
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The duality of optimal exercise and domineering claims: a Doob-Meyer decomposition approach to the Snell envelope
Jamshidian, F · 2007
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Belomestny, D., Dickmann, F., and Nagapetyan, T · 2015
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Belomestny, D., Ladkau, M., and Schoenmakers, J · 2015
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Wang, H., Chen, H., Sudjianto, A., Liu, R., and Shen, Q · 2018
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