Boire, François-Michel; Reesor, R. Mark; Stentoft, Lars - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-21
Recently it was shown that the estimated American call prices obtained with regression and simulation based methods can be significantly improved on by using put-call symmetry. This paper extends these results and demonstrates that it is also possible to significantly reduce the variance of the...
