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An improved least squares Monte Carlo valuation method based on heteroscedasticity.

Frank J. FabozziTommaso PalettaRadu Tunaru
Published in: Eur. J. Oper. Res. (2017)
Keyphrases
  • monte carlo
  • least squares
  • monte carlo simulation
  • importance sampling
  • simulation study
  • monte carlo method
  • learning algorithm
  • search algorithm
  • moving objects
  • parameter estimation
  • monte carlo methods