A regression-based smoothing spline Monte Carlo algorithm for pricing American options in discrete time (Q2006839): Difference between revisions
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Revision as of 22:43, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A regression-based smoothing spline Monte Carlo algorithm for pricing American options in discrete time |
scientific article |
Statements
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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