A regression-based smoothing spline Monte Carlo algorithm for pricing American options in discrete time
| Year of publication: |
2008
|
|---|---|
| Authors: | Kohler, Michael |
| Published in: |
AStA Advances in Statistical Analysis. - Springer. - Vol. 92.2008, 2, p. 153-178
|
| Publisher: |
Springer |
| Subject: | American options | Consistency | Nonparametric regression | Optimal stopping | Rate of convergence | Regression based Monte Carlo methods | Smoothing spline |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005755496