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Search: subject:"Longstaff–Schwartz algorithm"
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American options
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Least-squares Monte Carlo
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Dynamic programming
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Longstaff-Schwartz algorithm
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Longstaff–Schwartz algorithm
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Statistical learning
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optimal stopping
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statistical learning
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Zanger, Daniel
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Applied Mathematical Finance
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Finance and Stochastics
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Quantitative error estimates for a least-squares Monte Carlo algorithm for American option pricing
Zanger, Daniel
- In:
Finance and Stochastics
17
(
2013
)
3
,
pp. 503-534
We prove new error estimates for the
Longstaff–Schwartz
algorithm
. We establish an <InlineEquation ID="IEq1 …
Persistent link: https://www.econbiz.de/10010997070
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2
Convergence of a Least-Squares Monte Carlo Algorithm for Bounded Approximating Sets
Zanger, Daniel
- In:
Applied Mathematical Finance
16
(
2009
)
2
,
pp. 123-150
We analyse the convergence properties of the
Longstaff-Schwartz
algorithm
for approximately solving optimal stopping …
Persistent link: https://www.econbiz.de/10004966845
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