Bootstrapping the early exercise boundary in the least-squares monte carlo method
Year of publication: |
2019
|
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Authors: | Létourneau, Pascal ; Stentoft, Lars |
Published in: |
Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 12.2019, 4/190, p. 1-21
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Subject: | American options | exercise boundary | least-squares Monte Carlo | simulation | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Simulation | Kleinste-Quadrate-Methode | Least squares method |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/jrfm12040190 [DOI] hdl:10419/239052 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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