AMERICAN OPTION PRICING WITH REGRESSION: CONVERGENCE ANALYSIS
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Publication:5210915
DOI10.1142/S0219024919500444zbMath1430.91130OpenAlexW2984725134MaRDI QIDQ5210915
Qidi Peng, Chen Liu, Henry Schellhorn
Publication date: 16 January 2020
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024919500444
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
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