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Erratum to ”Pricing American options by canonical least-squares Monte Carlo„ by Q. Liu

Publisher: John Wiley and Sons
Year: 2010
Tongue: English
Weight: 34 KB
Volume: 30
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.20485

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Pricing American options by canonical le

Pricing American options by canonical least-squares Monte Carlo

✍ Qiang Liu 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 118 KB

## Abstract Options pricing and hedging under canonical valuation have recently been demonstrated to be quite effective, but unfortunately are only applicable to European options. This study proposes an approach called canonical least‐squares Monte Carlo (CLM) to price American options. CLM proceed