Junbo Huang
- Optimal dual martingales, their analysis and application to new algorithms for Bermudan products
2011/11/25 by John Schoenmakers, Schoenmakers, John, Junbo Huang +3 · 2 citations
Economics, Econometrics and Finance · #62L15 #65C05 #91B28 #Capital Investment and Risk Analysis #Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Monetary Policy and Economic Impact #Pricing of Securities (q-fin.PR) #Probability (math.PR) #Stochastic processes and financial applications