Variance-constrained canonical least-squares Monte Carlo: An accurate method for pricing American options
Year of publication: |
2014
|
---|---|
Authors: | Liu, Qiang ; Guo, Shuxin |
Published in: |
The North American Journal of Economics and Finance. - Elsevier, ISSN 1062-9408. - Vol. 28.2014, C, p. 77-89
|
Publisher: |
Elsevier |
Subject: | Canonical least-squares Monte Carlo | Variance constraint | Implied volatility | American-style S&P 100 index put | Numerical measure change |
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