Leave-one-out least squares Monte Carlo algorithm for pricing Bermudan options
Jeechul Woo, Chenru Liu, Jaehyuk Choi
| Year of publication: |
2024
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|---|---|
| Authors: | Woo, Jeechul ; Choi, Jaehyuk |
| Published in: |
The journal of futures markets. - New York, NY : Wiley Interscience, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 44.2024, 8, p. 1404-1428
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| Subject: | American option | Bermudan option | least squares Monte Carlo | leave-one-out-cross-validation | look-ahead bias | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Optionsgeschäft | Option trading | Kleinste-Quadrate-Methode | Least squares method |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/fut.22515 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015110664