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On the Existence of an Optimal Regression Complexity in the Least-Square Monte Carlo LSM Framework for Options Pricing
On the Existence of an Optimal Regression Complexity in the Least-Square Monte Carlo LSM Framework for ... illustrate how to value American-style options using the Least-Squares Monte Carlo LSM approach proposed by ...- Authors: Yu Zhou
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Economics>Financial economics; Economics>Financial markets; Modeling & Statistical Methods>Regression analysis
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A General Framework for Financial Decisions
generalization of the principal current methods of financial decision making. In the way physical sciences ... theories they succeed, the science of finance can benefit from the development of a general framework that ...- Authors: Oakley E Van Slyke
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Effective decision-making
- Publication Name: Actuarial Research Clearing House
- Topics: Actuarial Profession>Best practices; Economics>Financial economics
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Pricing American Options without Expiry Date
Options without Expiry Date This paper discusses the martingale approach for pricing American-type options ... include the perpetual American put option and the perpetual maximum option in one stock case. The word “perpetual” ...- Authors: Carisa K W Yu
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Economics>Financial economics; Economics>Financial markets