An improved least squares Monte Carlo valuation method based on heteroscedasticity (Q1694951)
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scientific article; zbMATH DE number 6835160
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An improved least squares Monte Carlo valuation method based on heteroscedasticity |
scientific article; zbMATH DE number 6835160 |
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An improved least squares Monte Carlo valuation method based on heteroscedasticity (English)
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6 February 2018
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finance
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American options
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heteroscedasticity
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weighted least squares
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least squares Monte Carlo pricing method
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