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On the consistency of regression-based Monte Carlo methods for pricing Bermudan options in case of estimated financial models

Fromkorth, Andreas; Köhler, Michael - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 371-399

Persistent link: https://www.econbiz.de/10011350612

An improved least squares Monte Carlo valuation method based on heteroscedasticity

Fabozzi, Frank J.; Paletta, Tommaso; Tunaru, Radu - In: European journal of operational research : EJOR 263 (2017) 2, pp. 698-706

Persistent link: https://www.econbiz.de/10011794017

A critical analysis of the Weighted Least Squares Monte Carlo method for pricing American options

Reesor, R. Mark; Stentoft, Lars; Zhu, Xiaotian - In: Finance research letters 64 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10014531706

Threshold stochastic volatility : properties and forecasting

Mao, Xiuping; Ruiz, Esther; Veiga, Helena - In: International journal of forecasting 33 (2017) 4, pp. 1105-1123

Persistent link: https://www.econbiz.de/10011746949

Option implied risk-neutral density estimation : a robust and flexible method

Kundu, Arindam; Kumar, Sumit; Tomar, Nutan Kumar - In: Computational economics 54 (2019) 2, pp. 705-728

Persistent link: https://www.econbiz.de/10012134345

Correcting the bias in the Practitioner Black-Scholes method

Yin, Yun; Moffatt, Peter G. - In: Journal of risk and financial management : JRFM 12 (2019) 4/157, pp. 1-12

We address a number of technical problems with the popular Practitioner Black-Scholes (PBS) method for valuing options. The method amounts to a two-stage procedure in which fitted values of implied volatilities (IV) from a linear regression are plugged into the Black-Scholes formula to obtain...

Persistent link: https://www.econbiz.de/10012172997