Conergence of Monte Carlo algorithms for pricing American options

Conergence of Monte Carlo algorithms for pricing American options (2002)

by Daniel Egloff , Maung Min-oo

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Datum	Value	Source
TITLE	Conergence of Monte Carlo algorithms for pricing American options	user correction
AUTHOR NAME	Daniel Egloff	user correction
AUTHOR NAME	Maung Min-oo	user correction
ABSTRACT	In this paper we study the convergence of the Longstaff-Schwartz algorithm for the valuation of American options. Our approach is based on empirical risk minimization initiated by Vapnik and Chervonenkis in the early 1970’s and empirical processes techniques. This allows us to prove convergence, derive error estimates and a Central Limit Theorem for the sample estimators. It also opens up a variety of extensions and generalizations.	user correction
YEAR	2002	INFERENCE
CITATIONS	46 found	ParsCit 1.0