Valuation of the early-exercise price for options using simulations and nonparametric regression (Q1381139)
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scientific article; zbMATH DE number 1129210
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Valuation of the early-exercise price for options using simulations and nonparametric regression |
scientific article; zbMATH DE number 1129210 |
Statements
Valuation of the early-exercise price for options using simulations and nonparametric regression (English)
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17 March 1998
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arbitrage-free pricing
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splines
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locally weighted regression
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American options
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Markov processes
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nonparametric regression
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