On improving the least squares Monte Carlo option valuation method

Nelson Areal (), Artur Rodrigues and Manuel Armada ()

Review of Derivatives Research, 2008, vol. 11, issue 1, 119-151

Keywords: American options; Real options; Simulation; Quasi Monte Carlo methods; D81; G13; G31 (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (10)

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DOI: 10.1007/s11147-008-9026-x

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