A modified least-squares simulation approach to value American barrier options
Lihua Zhang; Weiguo Zhang; Weijun Xu; Xiang Shi
| Year of publication: |
2014
|
|---|---|
| Authors: | Zhang, Lihua ; Zhang, Weiguo ; Xu, Weijun ; Shi, Xiang |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 44.2014, 4, p. 489-506
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| Subject: | Least-squares simulation | Total least squares | Quasi-Monte Carlo | Barrier option | Simulation | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Kleinste-Quadrate-Methode | Least squares method |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010489859