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math.GM2003
Uncertainty of the Shapley Value
Vladislav Kargin
This paper introduces a measure of uncertainty in the determination of the Shapley value, illustrates it with examples, and studies some of its properties. The introduced measure o…
math.GM2002
Lattice Option Pricing By Multidimensional Interpolation
Vladislav Kargin
This note proposes a method for pricing high-dimensional American options based on modern methods of multidimensional interpolation. The method allows using sparse grids and thus m…