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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 Options Pricing In this paper, we illustrate how to value American-style options using the ...- 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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Modeling Capital Market with Financial Signal Processing
Modeling Capital Market with Financial Signal Processing This paper discusses the theoretic framework of modeling captial markets: index-based composition methodology and statisical procedure of ...- Authors: Jenher Jeng
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Economics>Financial markets; Modeling & Statistical Methods>Stochastic models