An analysis of a least squares regression method for American option pricing
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Publication:1424693
DOI10.1007/s007800200071zbMath1039.91020MaRDI QIDQ1424693
Emmanuelle Clément, Damien Lamberton, Philip E. Protter
Publication date: 16 March 2004
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s007800200071
93E20: Optimal stochastic control
60G40: Stopping times; optimal stopping problems; gambling theory
91G20: Derivative securities (option pricing, hedging, etc.)
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