Leave-one-out least squares Monte Carlo algorithm for pricing Bermudan options
Year of publication: |
2024
|
---|---|
Authors: | Woo, Jeechul ; Liu, Chenru ; 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
|
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 |
-
Hanfeld, Marc, (2016)
-
Least-Squares Monte Carlo and Quasi Monte Carlo Method in Pricing American Put Options Using Matlab
Phan, Phuc, (2016)
-
Zhuang, Yangyang, (2023)
- More ...
-
Hyperbolic normal stochastic volatility model
Choi, Jaehyuk, (2018)
-
Leave-One-Out Least Square Monte Carlo Algorithm for Pricing American Options
Woo, Jeechul, (2020)
-
Choi, Jaehyuk, (2025)
- More ...