Showing 1 - 5 of 5
Persistent link: https://www.econbiz.de/10001424872
The paper is concerned with the problem of variance estimation for a high-dimensional regression model. The results show that the accuracy n -1/2 of variance estimation can be achieved only under some restrictions on smoothness properties of the regression function and on the dimensionality of...
Persistent link: https://www.econbiz.de/10009581086
Conditional quantile curves provide a comprehensive picture of a response contingent on explanatory variables. Quantile regression is a technique to estimate such curves. In a flexible modeling framework, a specific form of the quantile is not a priori fixed. Indeed, the majority of applications...
Persistent link: https://www.econbiz.de/10012966291
Conditional quantile curves provide a comprehensive picture of a response contingent on explanatory variables. Quantile regression is a technique to estimate such curves. In a flexible modeling framework, a specific form of the quantile is not a priori fixed. Indeed, the majority of applications...
Persistent link: https://www.econbiz.de/10008772553
Here we develop methods for efficient pricing multidimensional discrete time American and Bermudan options by using regression based algorithms together with a new approach towards constructing upper bounds for the price of the option. Applying the sample space with payoffs at the optimal...
Persistent link: https://www.econbiz.de/10003375769