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An analysis of a least squares regression method for American option pricing |
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| Authors: | Emmanuelle Clément Damien Lamberton Philip Protter |
| Institution: | (1) équipe d'Analyse et de mathématiques appliquées, Université de Marne-la-Vallée, 5 Bld Descartes, Champs-sur-marne, 77454 Marne-la-Vallée Cedex 2, France , FR;(2) Operations Research and Industrial Engineering Department, Cornell University, Ithaca, NY 14853-3801, USA (e-mail: protter@orie.cornell.edu) , US |
| Abstract: | |
| Keywords: | : American options optimal stopping Monte-Carlo methods least squares regression |
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