Bootstrapping the Early Exercise Boundary in the Least-Squares Monte Carlo Method
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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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KeywordsAmerican options; least-squares Monte Carlo; exercise boundary; simulation;
- C - Mathematical and Quantitative Methods
- E - Macroeconomics and Monetary Economics
- F2 - International Economics - - International Factor Movements and International Business
- F3 - International Economics - - International Finance
- G - Financial Economics
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