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Apply the Least Squares Monte Carlo Approach to Extremely Complex Options: A Building Block Methodology
Apply the Least Squares Monte Carlo Approach to Extremely Complex Options: A Building Block Methodology
2007
jianzhihong
Chih-Hung Chien
Keywords:
Econometrics
Exotic option
Mathematical optimization
Least squares
Monte Carlo method
Convertible bond
Monte Carlo methods for option pricing
Mathematics
least squares monte carlo
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