Variance-constrained canonical least-squares Monte Carlo : an accurate method for pricing American options
Year of publication: |
2014
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Authors: | Liu, Qiang ; Guo, Shuxin |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 28.2014, p. 77-89
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Subject: | Canonical least-squares Monte Carlo | Variance constraint | Implied volatility | American-style S&P 100 index put | Numerical measure change | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Volatilität | Volatility |
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