Assessing the Least Squares Monte-Carlo approach to American option valuation

Review of Derivatives Research

Volumn 7, Issue 2, 2004, Pages 129-168

  Stentoft, Lars ^a  

^a AARHUS UNIVERSITY   (Denmark)

Author keywords

American options; Least Squares Monte Carlo; Monte Carlo simulation; Multiple underlying assets

Indexed keywords

EID: 3042835720     PISSN: 13806645     EISSN: None     Source Type: Journal    
DOI: 10.1023/B:REDR.0000031176.24759.e6     Document Type: Article

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