David Farahany

University of Toronto - Department of Statistics

100 St. George St.

Toronto, Ontario M5S 3G3

Canada

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Scholarly Papers (1)

1.

Mixing LSMC and PDE Methods to Price Bermudan Options

Number of pages: 49 Posted: 18 Nov 2016 Last Revised: 04 Mar 2019
University of Toronto - Department of Statistics, University of Toronto - Department of Computer Science and University of Toronto - Department of Statistics
Downloads 202 (151,556)

Abstract:

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least-squares Monte Carlo, bermudan options, stochastic volatility, variance reduction, dimension reduction