Valuing American options by least-squares randomized quasi-Monte Carlo methods
Xin-Yu Wu and Hai-Lin Zhou; Shou-Yang Wang
| Year of publication: |
2014
|
|---|---|
| Authors: | Wu, Xin-Yu ; Zhou, Hai-Lin ; Wang, Shouyang |
| Published in: |
Journal of financial engineering. - Hackensack, NJ : World Scientific, ISSN 2345-7686, ZDB-ID 2813048-0. - Vol. 1.2014, 2, p. 1-16
|
| Subject: | American options | least-squares Monte Carlo | randomized quasi-Monte Carlo | leastsquares randomized quasi-Monte Carlo | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Kleinste-Quadrate-Methode | Least squares method |
| 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://www.econbiz.de/10010508081