Complex derivatives valuation: applying the Least-Squares Monte Carlo Simulation Method with several polynomial basis
Year of publication: |
2016
|
---|---|
Authors: | Monteiro de Lima, Ursula Silveira ; Samanez, Carlos Patricio |
Published in: |
Financial Innovation. - Heidelberg : Springer, ISSN 2199-4730. - Vol. 2.2016, 1, p. 1-14
|
Publisher: |
Heidelberg : Springer |
Subject: | Complex derivatives valuation | Least-Squares Monte Carlo Method | Amerasian options | Polynomial basis |
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