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
Version of Record online: 11 FEB 2013
© 2013 Wiley Periodicals, Inc.
Volume 25, Issue 2, pages 371–399, April 2015
How to Cite
Fromkorth, A. and Kohler, M. (2015), ON THE CONSISTENCY OF REGRESSION-BASED MONTE CARLO METHODS FOR PRICING BERMUDAN OPTIONS IN CASE OF ESTIMATED FINANCIAL MODELS. Mathematical Finance, 25: 371–399. doi: 10.1111/mafi.12025
- Issue online: 2 MAR 2015
- Version of Record online: 11 FEB 2013
- Manuscript Accepted: OCT 2012
- Manuscript Received: FEB 2012
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