Numerical Study to Least-Squares Monte Carlo Method for Pricing American Options
碩士 === 國立中正大學 === 應用數學研究所 === 91 === This paper study the Least-Square Monte Carlo (LSMC) method developed by Longstaff and Schwartz (2001), where a least-square regression is used to estimate the continuation value. In this paper, we implement LSMC method for pricing American put option...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2003
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| Online Access: | http://ndltd.ncl.edu.tw/handle/19551701267376471156 |