Least-Squares Monte Carlo Simulation for Time Value of Options and Guarantees Calculation
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References listed on IDEAS
- Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," Review of Financial Studies, Society for Financial Studies, vol. 14(1), pages 113-147.
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"On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives,"
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More about this item
KeywordsTVOG; Pension Fund; LSMC; Nested Stochastic Simulations;
StatisticsAccess and download statistics
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