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On improving the least squares Monte Carlo option valuation method
Areal, Nelson; Rodrigues, Artur; Armada, Manuel - In: Review of Derivatives Research 11 (2008) 1, pp. 119-151
Persistent link: https://www.econbiz.de/10005709815
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On the Dangers of a Simplistic American Option Simulation Valuation Method
Areal, Nelson; Rodrigues, Artur - 2018
Chen and Shen (2003) argue that it is possible to improve the Least Squares Monte Carlo Method (LSMC) of Longstaff and Schwartz (2001) to value American options by removing the least squares regression module. This would make not only faster but also more accurate. We demonstrate, using a large...
Persistent link: https://www.econbiz.de/10014221353
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On the dangers of a simplistic American option simulation valuation method
Areal, Nelson; Rodrigues, Artur - In: The European journal of finance 16 (2010) 3/4, pp. 373-379
Persistent link: https://www.econbiz.de/10003996410