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A regression-based smoothing spline Monte Carlo algorithm for pricing American options in discrete time

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Author Info
Michael Kohler ()
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File URL: http://hdl.handle.net/10.1007/s10182-008-0067-0
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Publisher Info
Article provided by Springer in its journal AStA Advances in Statistical Analysis.

Volume (Year): 92 (2008)
Issue (Month): 2 (May)
Pages: 153-178
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Handle: RePEc:spr:alstar:v:92:y:2008:i:2:p:153-178

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Web page: http://www.springerlink.com/link.asp?id=112915

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Related research
Keywords: American options; Consistency; Nonparametric regression; Optimal stopping; Rate of convergence; Regression based Monte Carlo methods; Smoothing spline;

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This page was last updated on 2009-12-22.

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