Valuation of the early-exercise price for options using simulations and nonparametric regression
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Publication:1381139
DOI10.1016/S0167-6687(96)00004-2zbMath0894.62109MaRDI QIDQ1381139
Publication date: 17 March 1998
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
splinesMarkov processeslocally weighted regressionAmerican optionsnonparametric regressionarbitrage-free pricing
Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes (62M99) Optimal stopping in statistics (62L15)
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