A regression-based smoothing spline Monte Carlo algorithm for pricing American options in discrete time
type: Item
instance of: scholarly article
title: A regression-based smoothing spline Monte Carlo algorithm for pricing American options in discrete time
zbMATH Open document ID: 1477.62295
author: Yanyan Li
published in: AStA. Advances in Statistical Analysis
publication date: 2020-10-12T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62G08
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 7259124
zbMATH Keywords: American options
zbMATH Keywords: consistency
zbMATH Keywords: nonparametric regression
zbMATH Keywords: optimal stopping
zbMATH Keywords: rate of convergence
zbMATH Keywords: regression based Monte Carlo methods
zbMATH Keywords: smoothing spline
MaRDI profile type: Publication
full work available at URL: s10182-008-0067-0
OpenAlex ID: W2094723276
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DOI: 10.1007/S10182-008-0067-0
description: scientific article; zbMATH DE number 7259124