ON THE CONSISTENCY OF REGRESSION‐BASED MONTE CARLO METHODS FOR PRICING BERMUDAN OPTIONS IN CASE OF ESTIMATED FINANCIAL MODELS (Q5247425)
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scientific article; zbMATH DE number 6430119
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ON THE CONSISTENCY OF REGRESSION‐BASED MONTE CARLO METHODS FOR PRICING BERMUDAN OPTIONS IN CASE OF ESTIMATED FINANCIAL MODELS |
scientific article; zbMATH DE number 6430119 |
Statements
ON THE CONSISTENCY OF REGRESSION‐BASED MONTE CARLO METHODS FOR PRICING BERMUDAN OPTIONS IN CASE OF ESTIMATED FINANCIAL MODELS (English)
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24 April 2015
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American options
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Bermudan options
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consistency
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least squares estimates
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nonparametric regression
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robustness
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regression-based Monte Carlo methods
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