A critical analysis of the Weighted Least Squares Monte Carlo method for pricing American options
R. Mark Reesor, Lars Stentoft, Xiaotian Zhu
| Year of publication: |
2024
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|---|---|
| Authors: | Reesor, R. Mark ; Stentoft, Lars ; Zhu, Xiaotian |
| Published in: |
Finance research letters. - New York : Elsevier Science, ISSN 1544-6123, ZDB-ID 2145766-9. - Vol. 64.2024, Art.-No. 105379, p. 1-16
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| Subject: | American options | Heteroscedasticity corrections | Regression | Simulation | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Regressionsanalyse | Regression analysis | Schätztheorie | Estimation theory | Black-Scholes-Modell | Black-Scholes model |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2024.105379 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014531706