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On the Existence of an Optimal Regression Complexity in the Least-Square Monte Carlo LSM Framework for Options Pricing
Chapter 3, we use four American put options as our primary examples (Table 2). Table 2: Examples of ... Standard errors are listed in parentheses. Our primary measure of valuation accuracy is the percent error: ...- 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