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On improving the least squares Monte Carlo option valuation method · Study

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ArticleOn improving the least squares Monte Carlo option valuation method

Nelson Manuel de Pinho Brandão da Costa Areal2008

Article2008

On improving the least squares Monte Carlo option valuation method

Nelson Manuel de Pinho Brandão da Costa Areal · Artur Rodrigues · Manuel José da Rocha Armada

37 citations·0/0 files stored·Review of Derivatives Research

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Stochastic processes and financial applications Financial Markets and Investment Strategies Mathematical Approximation and Integration

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References

1973The Pricing of Options and Corporate Liabilities 1979Option pricing: A simplified approach 1994Comparing Predictive Accuracy 2001Valuing American Options by Simulation: A Simple Least-Squares Approach 1977Options: A Monte Carlo approach 1997Monte Carlo methods for security pricing 1997Pricing American-style securities using simulation 2001Regression methods for pricing complex American-style options

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2017An improved least squares Monte Carlo valuation method based on heteroscedasticity 2019Fair dynamic valuation of insurance liabilities: Merging actuarial judgement with market- and time-consistency 2014Value function approximation or stopping time approximation: a comparison of two recent numerical methods for American option pricing using simulation and regression

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Year2008

Typearticle

Published2008-03-01

VenueReview of Derivatives Research

ISSN-L1380-6645

Languageen

Citations37

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s11147-008-9026-x

openalex_workW2170347140

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