Convergence of a least-squares Monte Carlo algorithm for American option pricing with dependent sample data
Daniel Z. Zanger
| Year of publication: |
2018
|
|---|---|
| Authors: | Zanger, Daniel Z. |
| Subject: | least-squares regression | optimal stopping | statistical learning theory | Monte Carlo algorithms | American options | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Suchtheorie | Search theory | Kleinste-Quadrate-Methode | Least squares method | Algorithmus | Algorithm | Regressionsanalyse | Regression analysis | Optionsgeschäft | Option trading |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/mafi.12125 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011969162