ON THE CALCULATION OF RISK MEASURES USING LEAST-SQUARES MONTE CARLO
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Publication:2986664
DOI10.1142/S0219024917500200zbMath1396.91797OpenAlexW2599587357MaRDI QIDQ2986664
Publication date: 16 May 2017
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024917500200
Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Monte Carlo methods (65C05)
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Cites Work
- Convergence rates and asymptotic normality for series estimators
- An analysis of a least squares regression method for American option pricing
- Optimal global rates of convergence for nonparametric regression
- Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions
- Risk Estimation via Regression
- Valuing American Options by Simulation: A Simple Least-Squares Approach
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