Assessing the least squares Monte-Carlo approach to American option valuation
Year of publication: |
2004
|
---|---|
Authors: | Stentoft, Lars |
Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 7.2004, 2, p. 129-168
|
Subject: | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Theorie | Theory | Kleinste-Quadrate-Methode | Least squares method |
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