Convergence of a Least-Squares Monte Carlo Algorithm for Bounded Approximating Sets
Year of publication: |
2009
|
---|---|
Authors: | Zanger, Daniel |
Published in: |
Applied Mathematical Finance. - Taylor & Francis Journals, ISSN 1350-486X. - Vol. 16.2009, 2, p. 123-150
|
Publisher: |
Taylor & Francis Journals |
Subject: | Least-squares Monte Carlo | Longstaff-Schwartz algorithm | American options | optimal stopping | statistical learning |
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