On improving the least squares Monte Carlo option valuation method
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Bibliographic InfoArticle provided by Springer in its journal Review of Derivatives Research.
Volume (Year): 11 (2008)
Issue (Month): 1 (March)
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Web page: http://www.springerlink.com/link.asp?id=102989
American options; Real options; Simulation; Quasi Monte Carlo methods; D81; G13; G31;
Find related papers by JEL classification:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Fixed Investment and Inventory Studies
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