On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives

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Review of Derivatives Research, 6 (2003), 2 (May), pp. 107-128
http://hdl.handle.net/10230/951
To cite or link this document: http://hdl.handle.net/10230/951
dc.contributor.author Moreno, Manuel
dc.contributor.author Navas, Javier R.
dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
dc.date.issued 2001-04-01
dc.identifier.citation Review of Derivatives Research, 6 (2003), 2 (May), pp. 107-128
dc.identifier.uri http://hdl.handle.net/10230/951
dc.language.iso eng
dc.relation.ispartofseries Economics and Business Working Papers Series; 543
dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.title On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives
dc.type info:eu-repo/semantics/workingPaper
dc.date.modified 2016-09-29T02:50:18Z
dc.subject.keyword Finance and Accounting
dc.subject.keyword least-squares monte carlo
dc.subject.keyword option pricing
dc.subject.keyword american options
dc.rights.accessRights info:eu-repo/semantics/openAccess


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