A new options pricing method: semi-stochastic kernel regression method with constraints

DOI10.1080/00207160.2023.2217302OpenAlexW4377823784MaRDI QIDQ6117127

Le Jiang, Cheng-long Xu

Publication date: 16 August 2023

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2023.2217302

zbMATH Keywords

option pricingMonte Carlo simulationleast-squares method with constraintssemi-stochastic kernel regression

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Probabilistic models, generic numerical methods in probability and statistics (65C20) Monte Carlo methods (65C05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Cites Work

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