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Search: subject:"Canonical least-squares Monte Carlo"
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American-style S&P 100 index put
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Canonical least-squares Monte Carlo
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Implied volatility
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Guo, Shuxin
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The North American Journal of Economics and Finance
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The North American journal of economics and finance : a journal of financial economics studies
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Variance-constrained
canonical
least-squares
Monte
Carlo
: an accurate method for pricing American options
Liu, Qiang
;
Guo, Shuxin
- In:
The North American journal of economics and finance : a …
28
(
2014
),
pp. 77-89
Persistent link: https://www.econbiz.de/10010461176
Saved in:
2
Variance-constrained
canonical
least-squares
Monte
Carlo
: An accurate method for pricing American options
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 …
Persistent link: https://www.econbiz.de/10010777018
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