The valuation of American options using regression based Monte-Carlo methods.

MaRDI QIDQ5431413zbMATH OpenFDO

Authors Nebojsa Todorovic

Publication date 7 December 2007

Full work available at URL http://www.shaker.de/de/content/catalogue/index.asp?lang=de&ID=8&ISBN=978-3-8322-6767-4

Mathematics Subject Classification ID

Applications of statistics (62Pxx) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• A review on regression-based Monte Carlo methods for pricing American options
• Pricing of American options in discrete time using least squares estimates with complexity penalties
• Pricing of high-dimensional American options by neural networks
• American Option Pricing Using Simulation and Regression: Numerical Convergence Results
• A regression-based smoothing spline Monte Carlo algorithm for pricing American options in discrete time

Cited in

(7)

• Valuation of the early-exercise price for options using simulations and nonparametric regression
• An analysis of a least squares regression method for American option pricing
• A regression-based smoothing spline Monte Carlo algorithm for pricing American options in discrete time
• A review on regression-based Monte Carlo methods for pricing American options
• Pricing of high-dimensional American options by neural networks
• Pricing of American options in discrete time using least squares estimates with complexity penalties
• scientific article; zbMATH DE number 2051217 (Why is no real title available?)

This page was built for publication: The valuation of American options using regression based Monte-Carlo methods.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5431413)