Valuation of the early-exercise price for options using simulations and nonparametric regression

Author:

Carriere Jacques F.

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference11 articles.

1. Options and the Management of Financial Risk;Boyle,1992

2. Great Expectations: The Theory of Optimal stopping;Chow,1971

3. Locally weighted regression: An approach to regression analysis by local fitting;Cleveland;Journal of the American Statistical Association,1988

4. Regression by local fitting-methods, properties and computational algorithms;Cleveland;Journal of Econometrics,1988

5. A re-examination of traditional hypothesis about the term structure of interest rates;Cox;Journal of Finance,1981

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