A regression-based smoothing spline Monte Carlo algorithm for pricing American options in discrete time
Year of publication: |
2008
|
---|---|
Authors: | Kohler, Michael |
Published in: |
AStA Advances in Statistical Analysis. - Springer. - Vol. 92.2008, 2, p. 153-178
|
Publisher: |
Springer |
Subject: | American options | Consistency | Nonparametric regression | Optimal stopping | Rate of convergence | Regression based Monte Carlo methods | Smoothing spline |
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