Convergence of a Least‐Squares Monte Carlo Algorithm for Bounded Approximating Sets
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Publication:3395724
DOI10.1080/13504860802516881zbMath1169.91346OpenAlexW2083948485MaRDI QIDQ3395724
Publication date: 13 September 2009
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/13504860802516881
optimal stoppingAmerican optionsstatistical learningleast-squares Monte CarloLongstaff-Schwartz algorithm
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Cites Work
- Monte Carlo algorithms for optimal stopping and statistical learning
- Sphere packing numbers for subsets of the Boolean \(n\)-cube with bounded Vapnik-Chervonenkis dimension
- An analysis of a least squares regression method for American option pricing
- On the mathematical foundations of learning
- Valuing American Options by Simulation: A Simple Least-Squares Approach
- Convergence of stochastic processes