American Option Pricing With Regression: Convergence Analysis
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DOI: 10.1142/S0219024919500444
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- Jo~ao F. Doriguello & Alessandro Luongo & Jinge Bao & Patrick Rebentrost & Miklos Santha, 2021. "Quantum algorithm for stochastic optimal stopping problems with applications in finance," Papers 2111.15332, arXiv.org, revised Jul 2023.
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Keywords
American option pricing; convergence rate; Monte Carlo methods; optimal stopping; control variates;All these keywords.
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