On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives
Year of publication: |
2001-04
|
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Authors: | Moreno, Manuel ; Navas, Javier R. |
Institutions: | Department of Economics and Business, Universitat Pompeu Fabra |
Subject: | Least-Squares Monte Carlo | option pricing | American options |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; C60 - Mathematical Methods and Programming. General ; G13 - Contingent Pricing; Futures Pricing |
Source: |
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