American option pricing with regression : convergence analysis
Year of publication: |
2019
|
---|---|
Authors: | Liu, Chen ; Schellhorn, Henry ; Peng, Qidi |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 22.2019, 8, p. 1-31
|
Subject: | American option pricing | convergence rate | Monte Carlo methods | optimalstopping | control variates | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Derivat | Derivative |
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