Efficient Variance Reduction for American Call Options Using Symmetry Arguments
Recently it was shown that the estimated American call prices obtained with regression and simulation based methods can be significantly improved on by using put-call symmetry. This paper extends these results and demonstrates that it is also possible to significantly reduce the variance of the esti...
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Autores principales: | François-Michel Boire, R. Mark Reesor, Lars Stentoft |
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Formato: | article |
Lenguaje: | EN |
Publicado: |
MDPI AG
2021
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Materias: | |
Acceso en línea: | https://doaj.org/article/ffed81f9d5c44812bc1d4be51d003b80 |
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