Improve the computational speed of Least Square Monte Carlo simulation for the valuation of American options
碩士 === 國立高雄第一科技大學 === 金融營運所 === 93 === This paper modifies the Least-Square Monte Carlo approach that proposed by Longstaff and Schwartz (2001) for pricing American options in order to increase computational speed. Longstaff and Schwartz (2001) used the least-square method to estimate the intrinsic...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/36885256455272682525 |