An Improved Least Squares Monte Carlo Approach for PricingVarious Types of Options
碩士 === 國立高雄第一科技大學 === 金融營運所 === 97 === This article derives improvements to the least squares Monte Carlo method (LSMC)for derivatives pricing. We use the conditional expectation function as boundary function and calculate the optimal exercise boundary to overcome the irrational condition that the d...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2009
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/52780618453068676720 |