An efficient implementation of a least squares Monte Carlo method for valuing American-style options (Q3636738)
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scientific article; zbMATH DE number 5571412
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| English | An efficient implementation of a least squares Monte Carlo method for valuing American-style options |
scientific article; zbMATH DE number 5571412 |
Statements
An efficient implementation of a least squares Monte Carlo method for valuing American-style options (English)
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29 June 2009
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high-dimensional American options
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least squares Monte Carlo method
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efficiency
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optimal basis functions
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acceleration
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0.8621841669082642
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0.8144266605377197
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0.8115076422691345
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0.8026928901672363
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