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Implementation of primal and dual method to solve the optimal stopping problem in non-Markovian situations, see https://arxiv.org/abs/2312.03444 for details. Examples include optimal stopping of fractional Brownian motion and pricing American options in rough volatility models…
Implementation of primal and dual method to solve the optimal stopping problem in non-Markovian situations, see https://arxiv.org/abs/2312.03444 for details. Examples include optimal stopping of fractional Brownian motion and pricing American options in rough volatility models…
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