Convergence of the Least Squares Monte Carlo Approach to American Option Valuation
Author:
Publisher
Institute for Operations Research and the Management Sciences (INFORMS)
Subject
Management Science and Operations Research,Strategy and Management
Link
https://pubsonline.informs.org/doi/pdf/10.1287/mnsc.1030.0155
Reference20 articles.
1. Numerical Valuation of High Dimensional Multivariate American Securities
2. Options: A Monte Carlo approach
3. Pricing American-style securities using simulation
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