Optimal parameters for pricing of the American put options with least square Monte Carlo simulation

MaRDI QIDQ3169754zbMATH OpenFDO

Authors Naicong Hou, Guanli Zhang

Publication date 29 September 2011

zbMATH Keywords

basis functionleast square Monte Carlo simulation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60) Microeconomic theory (price theory and economic markets) (91B24)

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• scientific article; zbMATH DE number 5172395

Cited in

(4)

• scientific article; zbMATH DE number 5172395 (Why is no real title available?)
• Canonical least-squares Monte Carlo valuation of American options: convergence and empirical pricing analysis
• Optimal search for parameters in Monte Carlo simulation for derivative pricing
• Pricing American Put Options Using Malliavin Calculus with Optimal Localization Function

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