Statements (20)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
gptkb:algorithm
gptkb:logic |
| gptkbp:alternativeTo |
finite difference method
binomial tree method |
| gptkbp:appliesTo |
path-dependent options
American-style derivatives |
| gptkbp:basedOn |
least squares regression
|
| gptkbp:citation |
Valuing American Options by Simulation: A Simple Least-Squares Approach
|
| gptkbp:estimatedCost |
continuation value
|
| gptkbp:field |
gptkb:computational_finance
|
| https://www.w3.org/2000/01/rdf-schema#label |
Longstaff-Schwartz method
|
| gptkbp:introduced |
gptkb:Eduardo_S._Schwartz
gptkb:Francis_A._Longstaff |
| gptkbp:introducedIn |
2001
|
| gptkbp:publishedIn |
gptkb:The_Review_of_Financial_Studies
|
| gptkbp:usedFor |
option pricing
pricing American options |
| gptkbp:uses |
gptkb:Monte_Carlo_simulation
|
| gptkbp:bfsParent |
gptkb:Longstaff_&_Hurd
|
| gptkbp:bfsLayer |
8
|