Leave-One-Out Least Square Monte Carlo Algorithm for Pricing American Options
Year of publication: |
2020
|
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Authors: | Woo, Jeechul |
Other Persons: | Liu, Chenru (contributor) ; Choi, Jaehyuk (contributor) |
Publisher: |
[2020]: [S.l.] : SSRN |
Subject: | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Kleinste-Quadrate-Methode | Least squares method |
Extent: | 1 Online-Ressource (31 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 3, 2018 erstellt |
Other identifiers: | 10.2139/ssrn.3260372 [DOI] |
Classification: | C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
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