The Foresight Bias in Monte-Carlo Pricing of Options with Early
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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.
- Carriere, Jacques F., 1996. "Valuation of the early-exercise price for options using simulations and nonparametric regression," Insurance: Mathematics and Economics, Elsevier, vol. 19(1), pages 19-30, December.
- Philip Protter & Emmanuelle Clément & Damien Lamberton, 2002. "An analysis of a least squares regression method for American option pricing," Finance and Stochastics, Springer, vol. 6(4), pages 449-471.
More about this item
KeywordsMonte Carlo; Bermudan; Early Exercise; Regression; Least Square Approximation of Conditional Expectation; Least Square Monte Carlo; Longstaff-Schwartz; Perfect Foresight; Foresight Bias;
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-11-05 (All new papers)
- NEP-CMP-2005-11-05 (Computational Economics)
- NEP-FIN-2005-11-05 (Finance)
- NEP-FMK-2005-11-05 (Financial Markets)
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