An improved approach for valuing American options and their greeks by Least-squares Monte Carlo simulation

Korean Journal of Financial Studies 2008;37(2):217-244.
Published online April 30, 2008.

An improved approach for valuing American options and their greeks by Least-squares Monte Carlo simulation

Young Soo Choi, Joon Hyuk Song

Key Words: American put options,Early termination,Hedge parameters,Least-squares Monte Carlo simulation,Pathwise derivatives

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