Valuing American Options by Simulation: A Simple Least-Squares Approach
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Publication:5374081
DOI10.1093/rfs/14.1.113zbMath1386.91144MaRDI 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
91G60: Numerical methods (including Monte Carlo methods)
60G40: Stopping times; optimal stopping problems; gambling theory
91G20: Derivative securities (option pricing, hedging, etc.)
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