Importance Sampling for Least-Square Monte Carlo Methods
Pricing American style options is challenging due to early exercise opportunities. The conditional expectation in the Snell envelope, known as the continuation value is approximated by basis functions in the Least-Square Monte Carlo-algorithm, giving robust estimation for the options price. By chang...
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| Format: | Others |
| Language: | English |
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KTH, Matematisk statistik
2016
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-193080 |