Assessing the least squares Monte-Carlo approach to American option valuation
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Publication:704011
DOI10.1023/B:REDR.0000031176.24759.e6zbMath1080.91041OpenAlexW2020207464MaRDI QIDQ704011
Publication date: 12 January 2005
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/b:redr.0000031176.24759.e6
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
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