An improved least squares Monte Carlo valuation method based on heteroscedasticity

European Journal of Operational Research, Volume 263, Issue 2, 1 December 2017, Pages 698-706

Author(s):

Frank J.Fabozzi

EDHEC Business School

Tommaso Paletta

Kent Business School, University of Kent

Radu Tunaru

Kent Business School, University of Kent

European Journal of Operational Research, Volume 263, Issue 2, 1 December 2017, Pages 698-706

Type: Academic publication
Date: le 29/11/2017
Research Cluster : Finance
Source : European Journal of Operational Research

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