Liu, Qiang; Guo, Shuxin - In: The North American Journal of Economics and Finance 28 (2014) C, pp. 77-89
The pricing accuracy of the canonical least-squares Monte Carlo (CLM) method can be improved significantly by incorporating innovatively a variance constraint in the derivation of the canonical risk-neutral distribution. This new approach is called the variance-constrained CLM (vCLM) in the...