Pricing American-style options by Monte Carlo simulation: alternatives to ordinary least squares

Stathis Tompaidis and ChunyuYang

Journal of Computational Finance

Abstract: ABSTRACT We compare OLS regression against several alternatives and find that OLS regression underperforms methods that penalize the size of coefficient estimates when the number of simulation paths is small. Based on our findings, we recommend an alternative method based on a modification of the "matching projection pursuit" that we introduce in this paper.

References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.risk.net/journal-of-computational-fina ... dinary-least-squares (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rsk:journ0:2364558

Access Statistics for this article

More articles in Journal of Computational Finance from Journal of Computational Finance
Bibliographic data for series maintained by Thomas Paine ().