Convergence of the least squares Monte Carlo approach to American option valuation

Management Science

Volumn 50, Issue 9, 2004, Pages 1193-1203

  Stentoft, Lars ^a  

^a AARHUS UNIVERSITY   (Denmark)

Author keywords

American options; Least squares regression; Monte Carlo methods

Indexed keywords

COMPUTER SIMULATION; CONVERGENCE OF NUMERICAL METHODS; LEAST SQUARES APPROXIMATIONS; MATHEMATICAL MODELS; PARAMETER ESTIMATION; PROBABILITY; THEOREM PROVING; VALUE ENGINEERING;

AMERICAN OPTIONS; LEAST SQUARES REGRESSION; OPTION PRICING; STOCHASTIC FACTORS;

MANAGEMENT SCIENCE;

EID: 4944226609     PISSN: 00251909     EISSN: None     Source Type: Journal    
DOI: 10.1287/mnsc.1030.0155     Document Type: Article

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