An improved least squares Monte Carlo valuation method based on heteroscedasticity
Frank J. Fabozzi, Tommaso Paletta, Radu Tunaru
| Year of publication: |
1 December 2017
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|---|---|
| Authors: | Fabozzi, Frank J. ; Paletta, Tommaso ; Tunaru, Radu |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 263.2017, 2 (1.12.), p. 698-706
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| Subject: | Finance | American options | Heteroscedasticity | Weighted least squares | Least squares Monte Carlo pricing method | Monte-Carlo-Simulation | Monte Carlo simulation | Schätztheorie | Estimation theory | Optionspreistheorie | Option pricing theory | Kleinste-Quadrate-Methode | Least squares method | Heteroskedastizität | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2017.05.048 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011794017