搜索结果: 1-1 共查到“微观经济学 Least Squares Monte Carlo”相关记录1条 . 查询时间(0.062 秒)
A Note on the Stability of the Least Squares Monte Carlo
option pricing optimal stopping American option Least Squares Monte Carlo Monte Carlo methods Ill-Conditioning
2011/3/23
This paper analyzes Least Squares Monte Carlo (LSM) algorithm, which is proposed by Longstaff and Schwartz (2001) for pricing American style securities. This algorithm is based on the projection of th...