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On the Existence of an Optimal Regression Complexity in the Least-Square Monte Carlo LSM Framework for Options Pricing
martingale measure Q. Denote ( , ; , )C s t Tω as cash flows at time s generated by the option for the sample ... following the optimal stopping rule for all ,s t s T< ≤ . Then the value of continuation at time ( ...- 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