On the consistency of regression-based Monte Carlo methods for pricing Bermudan options in case of estimated financial models
Andreas Fromkorth and Michael Kohler
| Year of publication: |
2015
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|---|---|
| Authors: | Fromkorth, Andreas ; Köhler, Michael |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 25.2015, 2, p. 371-399
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| Subject: | American options | consistency | least squares estimates | nonparametric regression | robustness | regression-based Monte Carlo methods | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Regressionsanalyse | Regression analysis | Schätztheorie | Estimation theory | Optionsgeschäft | Option trading |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011350612