The authors thank Zizhen Huang and anonymous referees for various suggestions substantially improving the presentation of the results.
ON THE CONSISTENCY OF REGRESSION-BASED MONTE CARLO METHODS FOR PRICING BERMUDAN OPTIONS IN CASE OF ESTIMATED FINANCIAL MODELS
Article first published online: 11 FEB 2013
© 2013 Wiley Periodicals, Inc.
How to Cite
Fromkorth, A. and Kohler, M. (2013), ON THE CONSISTENCY OF REGRESSION-BASED MONTE CARLO METHODS FOR PRICING BERMUDAN OPTIONS IN CASE OF ESTIMATED FINANCIAL MODELS. Mathematical Finance. doi: 10.1111/mafi.12025
- Article first published online: 11 FEB 2013
- Manuscript received Febuary 2012; final revision received October 2012.
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