Assessing the Least Squares Monte-Carlo Approach to American Option Valuation
作者： Lars Stentoft
DOI: 10.1023/B:REDR.0000031176.24759.E6
关键词:
摘要: … in order for the LSM method to converge to the simple Black–Scholes economy American option price. For the at the money and out of the money options the results concerning the bias …
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sci-hub.se 参考文章(23)
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