An efficient implementation of a least squares Monte Carlo method for valuing American-style options (Q3636738)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An efficient implementation of a least squares Monte Carlo method for valuing American-style options |
scientific article |
Statements
An efficient implementation of a least squares Monte Carlo method for valuing American-style options (English)
0 references
29 June 2009
0 references
high-dimensional American options
0 references
least squares Monte Carlo method
0 references
efficiency
0 references
optimal basis functions
0 references
acceleration
0 references
0 references
