On the robustness of Least-Squares Monte Carlo (LSM) for pricing American derivatives

  1. Moreno, M.
  2. Navas, J.F.
Journal:
Review of Derivatives Research

ISSN: 1380-6645

Year of publication: 2003

Volume: 6

Issue: 2

Pages: 107-128

Type: Article

DOI: 10.1023/A:1027340210935 GOOGLE SCHOLAR
Data source: Scopus