David Farahany

University of Toronto - Department of Statistics

100 St. George St.

Toronto, Ontario M5S 3G3

Canada

SCHOLARLY PAPERS

1

DOWNLOADS

341

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (1)

1.

Mixing LSMC and PDE Methods to Price Bermudan Options

Number of pages: 38 Posted: 18 Nov 2016 Last Revised: 10 Jan 2020
University of Toronto - Department of Statistics, University of Toronto - Department of Computer Science and University of Toronto - Department of Statistics
Downloads 341 (174,480)

Abstract:

Loading...

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