American Option Pricing using Simulation and Regression: Numerical Convergence Results

Lars  Stentoft

American Option Pricing using Simulation and Regression: Numerical Convergence Results

Lars Stentoft

Department of Finance

Research output: Chapter in Book/Report/Conference proceeding › Article in proceedings › Research › peer-review

Original language	English
Title of host publication	Topics in Numerical Methods for Finance
Editors	Mark Cummins, Finbarr Murphy , John J.H. Miller
Place of Publication	New York
Publisher	Springer
Publication date	2012
Pages	57-94
ISBN (Print)	978-1-4614-3432-0
ISBN (Electronic)	978-1-4614-3433-7
Publication status	Published - 2012
Event	The 3rd International Conference on Numerical Methods for Finance - Kemmy Business School (KBS), University of Limerick , Limerick, Ireland Duration: 8 Jun 2011 → 10 Jun 2011 Conference number: 3 http://www.numericalmethodsforfinance.org/

Conference

Conference	The 3rd International Conference on Numerical Methods for Finance
Number	3
Location	Kemmy Business School (KBS), University of Limerick
Country/Territory	Ireland
City	Limerick
Period	08/06/2011 → 10/06/2011
Internet address	http://www.numericalmethodsforfinance.org/

Series	Springer Proceedings in Mathematics & Statistics
Volume	19
ISSN	2194-1009

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Cite this

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title = "American Option Pricing using Simulation and Regression: Numerical Convergence Results",

author = "Lars Stentoft",

year = "2012",

language = "English",

isbn = "978-1-4614-3432-0",

series = "Springer Proceedings in Mathematics & Statistics ",

publisher = "Springer",

pages = "57--94",

editor = "Mark Cummins and {Murphy }, Finbarr and {Miller }, {John J.H. }",

booktitle = "Topics in Numerical Methods for Finance",

address = "Germany",

note = "The 3rd International Conference on Numerical Methods for Finance ; Conference date: 08-06-2011 Through 10-06-2011",

url = "http://www.numericalmethodsforfinance.org/",

}

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, The 3rd International Conference on Numerical Methods for Finance , 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 proceeding › Article in proceedings › Research › peer-review

TY - GEN

T1 - American Option Pricing using Simulation and Regression

T2 - The 3rd International Conference on Numerical Methods for Finance

AU - Stentoft, Lars

N1 - Conference code: 3

PY - 2012

Y1 - 2012

M3 - Article in proceedings

SN - 978-1-4614-3432-0

T3 - Springer Proceedings in Mathematics & Statistics

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

Y2 - 8 June 2011 through 10 June 2011

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