Valuing American Options by Simulation: A Simple Least-Squares Approach

DOI10.1093/rfs/14.1.113zbMath1386.91144OpenAlexW2126311658MaRDI QIDQ5374081

Eduardo S. Schwartz, Francis A. Longstaff

Publication date: 6 April 2018

Published in: Review of Financial Studies (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/rfs/14.1.113

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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