On Improving the Least Squares Monte Carlo Option Valuation Method

2008 ◽  
Author(s):  
Nelson Manuel de Pinho Branddo da Costa Areal ◽  
Artur Rodrigues ◽  
Manuel Joss Rocha Armada
Keyword(s):  
Monte Carlo ◽  
Least Squares ◽  
Option Valuation ◽  
Least Squares Monte Carlo ◽  
Valuation Method

On improving the least squares Monte Carlo option valuation method

2008 ◽  
Vol 11 (1-2) ◽  
pp. 119-151 ◽  
Author(s):  
Nelson Areal ◽  
Artur Rodrigues ◽  
Manuel R. Armada
Keyword(s):  
Monte Carlo ◽  
Least Squares ◽  
Option Valuation ◽  
Least Squares Monte Carlo ◽  
Valuation Method
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