My name is Viet-Dung Doan - PhD Student ,
INRIA Sophia Antipolis
2004 Route des Lucioles, BP93, 06902, France
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Geometric Brownian Motion with exercise boundary | Frontier exericise with stochastic volatilities | Exercise region above 0 and continuation region below 0 at a random date | Performance |
Grid 144 lattice points generated in Java | in Fortrant | by L'ecuyer | in Scilab |
Least Square Regression 2th order polynomial | Least Square Regression 5th order polynomial | Weighted and normal least square regression | Exercise boundary of American Basket Option (3 stocks) |