Least square regression methods for Bermudan derivatives and systems of functions
Year of publication: |
2015
|
---|---|
Authors: | Kusuoka, Shigeo ; Morimoto, Yusuke |
Published in: |
Advances in mathematical economics. - Singapore : Springer Science + Business Media, ISSN 1866-2226, ZDB-ID 1500427-2. - Vol. 19.2015, p. 57-89
|
Subject: | Regressionsanalyse | Regression analysis | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Kleinste-Quadrate-Methode | Least squares method | Monte-Carlo-Simulation | Monte Carlo simulation | Schätztheorie | Estimation theory |
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