scientific article; zbMATH DE number 6129889

zbMATH Open1265.91057MaRDI QIDQ4901417

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Publication date: 24 January 2013

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zbMATH Keywords

option pricingMonte Carlo simulationtotal least squaresjump-diffusion modelAmerican-style Asian option

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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