Bias Reduction for Pricing American Options by Least-Squares Monte Carlo
Author:
Publisher
Informa UK Limited
Subject
Applied Mathematics,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/1350486X.2011.608566
Reference19 articles.
1. Avramidis, A. N. and Hyden, P. Efficiency improvements for pricing American options with a stochastic mesh. Proceedings of the 1999 Winter Simulation Conference. pp.344–350. Phoenix, AZ: IEEE, New York.
2. Broadie, M. and Glasserman, P. A pruned and bootstrapped American option simulator. Proceedings of the 1995 Winter Simulation Conference. pp.229–235. New York: IEEE.
3. Pricing American-style securities using simulation
4. A stochastic mesh method for pricing high-dimensional American options
5. Valuation of the early-exercise price for options using simulations and nonparametric regression
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