Estimation, model selection and evaluation of regression functions in a Least-squares Monte-Carlo framework
This master thesis will investigate one solution to the problem issues with nested stochastic simulation arising when the future value of a portfolio need to be calculated. The solution investigated is the Least-squares Monte-Carlo method, where regression is used to obtain a proxy function for the...
| Main Authors: | , |
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| Format: | Others |
| Language: | English |
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Linköpings universitet, Produktionsekonomi
2014
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| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-110927 |