NN de-Americanization: an efficient method to facilitate calibration of American-style options

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Published in:Quantitative finance 2025-01, p.1-16
Main Authors: Pommergård Lind, Peter, Gatheral, Jim
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Language:English
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creator Pommergård Lind, Peter
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doi_str_mv 10.1080/14697688.2024.2432511
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title NN de-Americanization: an efficient method to facilitate calibration of American-style options
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