Statements (16)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
gptkb:logic
gptkb:financial_technology |
| gptkbp:application |
energy markets
derivatives pricing real options analysis |
| gptkbp:citation |
gptkb:Longstaff,_F._A.,_&_Schwartz,_E._S._(2001)._Valuing_American_options_by_simulation:_a_simple_least-squares_approach._The_Review_of_Financial_Studies,_14(1),_113-147.
|
| gptkbp:field |
quantitative finance
|
| https://www.w3.org/2000/01/rdf-schema#label |
Longstaff-Schwartz model
|
| gptkbp:introduced |
gptkb:Eduardo_S._Schwartz
gptkb:Francis_A._Longstaff |
| gptkbp:introducedIn |
2001
|
| gptkbp:method |
least squares Monte Carlo
|
| gptkbp:solvedBy |
optimal stopping problem
|
| gptkbp:usedFor |
pricing American options
|
| gptkbp:bfsParent |
gptkb:Frank_Longstaff
|
| gptkbp:bfsLayer |
5
|