Canonical least-squares Monte Carlo valuation of American options: convergence and empirical pricing analysis

DOI10.1155/2014/763751zbMath1407.91280OpenAlexW1993728783WikidataQ59072036 ScholiaQ59072036MaRDI QIDQ1719097

Xisheng Yu, Qiang Liu

Publication date: 8 February 2019

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/763751

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• An analysis of a least squares regression method for American option pricing
• Nonparametric estimation of American options' exercise boundaries and call prices
• American options with stochastic dividends and volatility: a nonparametric investigation
• Pricing American options using a nonparametric entropy approach
• Numerical Methods in Finance and Economics
• The Entropic Penalty Approach to Stochastic Programming
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• Option pricing: A simplified approach
• Unnamed Item

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