An efficient implementation of a least squares Monte Carlo method for valuing American-style options
DOI10.1080/00207160802647357zbMath1163.91406OpenAlexW1969082924MaRDI QIDQ3636738
Publication date: 29 June 2009
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160802647357
efficiencyaccelerationleast squares Monte Carlo methodhigh-dimensional American optionsoptimal basis functions
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Discrete-time Markov processes on general state spaces (60J05) Least squares and related methods for stochastic control systems (93E24) Stopping times; optimal stopping problems; gambling theory (60G40) Complexity and performance of numerical algorithms (65Y20)
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