CONVERGENCE OF A LEAST‐SQUARES MONTE CARLO ALGORITHM FOR AMERICAN OPTION PRICING WITH DEPENDENT SAMPLE DATA (Q4635047): Difference between revisions
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Revision as of 19:10, 19 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)
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13 April 2018
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least-squares regression
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optimal stopping
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statistical learning theory
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Monte Carlo algorithms
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American options
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