An improved least squares Monte Carlo valuation method based on heteroscedasticity

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Publication:1694951

DOI10.1016/j.ejor.2017.05.048zbMath1380.91140OpenAlexW2617918452MaRDI QIDQ1694951

Frank J. Fabozzi, Tommaso Paletta, Radu S. Tunaru

Publication date: 6 February 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: http://sro.sussex.ac.uk/id/eprint/89492/1/__smbhome.uscs.susx.ac.uk_tjk30_Documents_EJOR2017_accepted_manuscript.pdf



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