A nonparametric method for pricing and hedging American options

Research output: Chapters, Conference Papers, Creative and Literary Works › RGC 32 - Refereed conference paper (with host publication) › peer-review

Overview

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Mathematics

Nonparametric Metho... Mathematics

Recursion Mathematics

American Option Mathematics

Option Price Mathematics

Monte Carlo Mathematics

Derivatives Mathematics

Numerical Experimen... Mathematics

Nearest Neighbor Mathematics

Conditional Expecta... Mathematics

Keyphrases

Nonparametric Metho... Keyphrases

Backward Recursion Keyphrases

American Options Keyphrases

Hedging Keyphrases

Price Sensitivity Keyphrases

Simulation Runs Keyphrases

Option Price Keyphrases

Monte Carlo Simulat... Keyphrases

Computable Keyphrases

Numerical Experimen... Keyphrases

Conditional Expecta... Keyphrases

Nonparametric Estim... Keyphrases

Pathwise Derivative... Keyphrases

K-nearest Keyphrases

INIS

sensitivity INIS

simulation INIS

comparative evaluat... INIS

monte carlo method INIS

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