General error estimates for the Longstaff-Schwartz least-squares Monte Carlo algorithm
Year of publication: |
2020
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Authors: | Zanger, Daniel Z. |
Published in: |
Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 45.2020, 3, p. 923-946
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Subject: | least-squares regression | optimal stopping | statistical learning theory | Monte Carlo algorithms | American options | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Kleinste-Quadrate-Methode | Least squares method | Suchtheorie | Search theory |
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