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American-style S&P 100 index put
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Canonical least-squares Monte Carlo
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Variance-constrained canonical least-squares Monte Carlo: An accurate method for pricing American options
Liu, Qiang
;
Guo, Shuxin
- In:
The North American Journal of Economics and Finance
28
(
2014
)
C
,
pp. 77-89
incorporating innovatively a
variance
constraint
in the derivation of the canonical risk-neutral distribution. This new approach is …
Persistent link: https://www.econbiz.de/10010777018
Saved in:
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Variance-constrained canonical least-squares Monte Carlo : an accurate method for pricing American options
Liu, Qiang
;
Guo, Shuxin
- In:
The North American journal of economics and finance : a …
28
(
2014
),
pp. 77-89
Persistent link: https://www.econbiz.de/10010461176
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