An improved least squares Monte Carlo valuation method based on heteroscedasticity
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Publication:1694951
DOI10.1016/j.ejor.2017.05.048zbMath1380.91140OpenAlexW2617918452MaRDI QIDQ1694951
Frank J. Fabozzi, Tommaso Paletta, Radu S. Tunaru
Publication date: 6 February 2018
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: http://sro.sussex.ac.uk/id/eprint/89492/1/__smbhome.uscs.susx.ac.uk_tjk30_Documents_EJOR2017_accepted_manuscript.pdf
heteroscedasticityAmerican optionsfinanceweighted least squaresleast squares Monte Carlo pricing method
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
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