Variance-constrained canonical least-squares Monte Carlo : an accurate method for pricing American options
Qiang Liu; Shuxin Guo
| Year of publication: |
2014
|
|---|---|
| Authors: | Liu, Qiang ; Guo, Shuxin |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 28.2014, p. 77-89
|
| Subject: | Canonical least-squares Monte Carlo | Variance constraint | Implied volatility | American-style S&P 100 index put | Numerical measure change | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Volatilität | Volatility | Kleinste-Quadrate-Methode | Least squares method | 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://www.econbiz.de/10010461176