Bias reduction for pricing American options by least-squares Monte Carlo
Kin Hung (Felix) Kan & R. Mark Reesor
| Year of publication: |
2012
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|---|---|
| Authors: | Kan, Kin Hung Felix ; Reesor, R. Mark |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 19.2012, 3/4, p. 195-217
|
| Subject: | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Kleinste-Quadrate-Methode | Least squares method | Systematischer Fehler | Bias | Black-Scholes-Modell | Black-Scholes model | Optionsgeschäft | Option trading |
| 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/10009711007