In the Broadie-Glasserman article there is a picture of simulated paths and Optimal Exercise region. How did they find this optimal exercise boudary?

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    $\begingroup$ There is no explicit formula, you have to rely on numerical methods. (Solving the free boundary PDE, or an integral equation). There is a lot known about the Optimal Exercise curve, but no closed form solution. What do you want to do? $\endgroup$
    – nbbo2
    May 22, 2021 at 12:51


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