A Review on Regression-based Monte Carlo Methods for Pricing American Options

DOI10.1007/978-3-7908-2598-5_2zbMath1203.91295OpenAlexW2155152029MaRDI QIDQ3059063

Michael Kohler

Publication date: 8 December 2010

Published in: Recent Developments in Applied Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-7908-2598-5_2

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Monte Carlo methods (65C05) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Derivative securities (option pricing, hedging, etc.) (91G20) Optimal stopping in statistics (62L15)

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