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

zbMATH Open1240.91186MaRDI QIDQ3169754FDOQ3169754

Authors: Naicong Hou, Guanli Zhang 

Publication date: 29 September 2011

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• scientific article; zbMATH DE number 5172395

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)

Cited In (4)

• Title not available (Why is that?)
• 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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