CONVERGENCE OF A LEAST‐SQUARES MONTE CARLO ALGORITHM FOR AMERICAN OPTION PRICING WITH DEPENDENT SAMPLE DATA (Q4635047): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 16:41, 5 March 2024
scientific article; zbMATH DE number 6859730
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | CONVERGENCE OF A LEAST‐SQUARES MONTE CARLO ALGORITHM FOR AMERICAN OPTION PRICING WITH DEPENDENT SAMPLE DATA |
scientific article; zbMATH DE number 6859730 |
Statements
CONVERGENCE OF A LEAST‐SQUARES MONTE CARLO ALGORITHM FOR AMERICAN OPTION PRICING WITH DEPENDENT SAMPLE DATA (English)
0 references
13 April 2018
0 references
least-squares regression
0 references
optimal stopping
0 references
statistical learning theory
0 references
Monte Carlo algorithms
0 references
American options
0 references
