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AIP Conference Proceedings
We propose a recursive schemes to calculate backward the values of conditional expectations of functions of path values of Brownian motion. This scheme is based on the Clark-Ocone formula in discrete time. We suggest an algorithm based on our scheme to effectively calculate the price of American options on securities with path-dependent payoffs. For problems where the pathdependence comes only from the path-dependence of the state variables our method is less subject to the curse ofdoi:10.1063/1.3146195 fatcat:nfppcruhdfa23kp2tokcmanwxa