Toward a unified implementation of regression Monte Carlo algorithms
Year of publication: |
2023
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Authors: | Ludkovski, Mike |
Published in: |
The journal of computational finance : JFC. - London : Infopro Digital Risk, ISSN 1755-2850, ZDB-ID 2091445-3. - Vol. 27.2023, 1, p. 59-109
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Subject: | optimal stopping | regression Monte Carlo | Bermudan option pricing | swing option valuation | R for finance | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Regressionsanalyse | Regression analysis | Suchtheorie | Search theory |
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