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Valuation of the early-exercise price for options using simulations and nonparametric regression

  • Carriere, Jacques F.
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    File URL: http://www.sciencedirect.com/science/article/B6V8N-3VWC6D3-2/2/550f891555def5a9955cd8d07b5c1466
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    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 19 (1996)
    Issue (Month): 1 (December)
    Pages: 19-30

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    Handle: RePEc:eee:insuma:v:19:y:1996:i:1:p:19-30
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505554

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    1. Schachermayer, W., 1992. "A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time," Insurance: Mathematics and Economics, Elsevier, vol. 11(4), pages 249-257, December.
    2. Cleveland, William S. & Devlin, Susan J. & Grosse, Eric, 1988. "Regression by local fitting : Methods, properties, and computational algorithms," Journal of Econometrics, Elsevier, vol. 37(1), pages 87-114, January.
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