Qestion: least squre monte carlo simulation 0 个回复 - 1640 次查看
How to capture free boundary of a American Option by the least square simulation? My solution is to solve the equation "Exercising Value = Continue Value" where the Exercising Value EV(S)=S-K; Continu ...2010-3-4 00:56 - sinjay - 金融工程(数量金融)与金融衍生品