A regression-based smoothing spline Monte Carlo algorithm for pricing American options in discrete time (Q2006839): Difference between revisions

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Latest revision as of 18:28, 16 December 2024

scientific article
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A regression-based smoothing spline Monte Carlo algorithm for pricing American options in discrete time
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    A regression-based smoothing spline Monte Carlo algorithm for pricing American options in discrete time (English)
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    12 October 2020
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    American options
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    consistency
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    nonparametric regression
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    optimal stopping
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    rate of convergence
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    regression based Monte Carlo methods
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    smoothing spline
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    Identifiers

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