American Option Pricing using Simulation and Regression

Numerical Convergence Results

Lars Stentoft

Research output: Chapter in Book/Report/Conference proceedingArticle in proceedingsResearchpeer-review

Original languageEnglish
Title of host publicationTopics in Numerical Methods for Finance
EditorsMark Cummins, Finbarr Murphy , John J.H. Miller
Place of PublicationNew York
PublisherSpringer
Publication date2012
Pages57-94
ISBN (Print)978-1-4614-3432-0
ISBN (Electronic)978-1-4614-3433-7
Publication statusPublished - 2012
EventThe 3rd International Conference on Numerical Methods for Finance - Kemmy Business School (KBS), University of Limerick , Limerick, Ireland
Duration: 8 Jun 201110 Jun 2011
Conference number: 3
http://www.numericalmethodsforfinance.org/

Conference

ConferenceThe 3rd International Conference on Numerical Methods for Finance
Number3
LocationKemmy Business School (KBS), University of Limerick
CountryIreland
CityLimerick
Period08/06/201110/06/2011
Internet address
SeriesSpringer Proceedings in Mathematics & Statistics
Volume19
ISSN2194-1009

Bibliographical note

CBS Library does not have access to the material

Cite this

Stentoft, L. (2012). American Option Pricing using Simulation and Regression: Numerical Convergence Results. In M. Cummins, F. Murphy , & J. J. H. Miller (Eds.), Topics in Numerical Methods for Finance (pp. 57-94). New York: Springer. Springer Proceedings in Mathematics & Statistics , Vol.. 19
Stentoft, Lars . / American Option Pricing using Simulation and Regression : Numerical Convergence Results. Topics in Numerical Methods for Finance. editor / Mark Cummins ; Finbarr Murphy ; John J.H. Miller . New York : Springer, 2012. pp. 57-94 (Springer Proceedings in Mathematics & Statistics , Vol. 19).
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language = "English",
isbn = "978-1-4614-3432-0",
pages = "57--94",
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Stentoft, L 2012, American Option Pricing using Simulation and Regression: Numerical Convergence Results. in M Cummins, F Murphy & JJH Miller (eds), Topics in Numerical Methods for Finance. Springer, New York, Springer Proceedings in Mathematics & Statistics , vol. 19, pp. 57-94, Limerick, Ireland, 08/06/2011.

American Option Pricing using Simulation and Regression : Numerical Convergence Results. / Stentoft, Lars .

Topics in Numerical Methods for Finance. ed. / Mark Cummins; Finbarr Murphy ; John J.H. Miller . New York : Springer, 2012. p. 57-94 (Springer Proceedings in Mathematics & Statistics , Vol. 19).

Research output: Chapter in Book/Report/Conference proceedingArticle in proceedingsResearchpeer-review

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PY - 2012

Y1 - 2012

M3 - Article in proceedings

SN - 978-1-4614-3432-0

SP - 57

EP - 94

BT - Topics in Numerical Methods for Finance

A2 - Cummins, Mark

A2 - Murphy , Finbarr

A2 - Miller , John J.H.

PB - Springer

CY - New York

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Stentoft L. American Option Pricing using Simulation and Regression: Numerical Convergence Results. In Cummins M, Murphy F, Miller JJH, editors, Topics in Numerical Methods for Finance. New York: Springer. 2012. p. 57-94. (Springer Proceedings in Mathematics & Statistics , Vol. 19).