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The optimal method for pricing Bermudan optionsby simulationmore_vert
The optimal method for pricing Bermudan optionsby simulationclose

The optimal method for pricing Bermudan optionsby simulation

tipo de documento Publicacion

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Autores: Ibañez Rodríguez, Alfredo, Velasco Gomez, Carlos

Etiquetas: optimization, simulation, simulacion, optimizacion, regresion local, opciones bermudas y americanas, tiempos de paro optimos, local least-squares, optimal stopping-times, american and bermudan options