Refining the least squares Monte Carlo method by imposing structure

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Refining the least squares Monte Carlo method by imposing structure. / Létourneau, Pascal ; Stentoft, Lars.

In: Quantitative Finance, Vol. Volume 14, No. 3, 2014, p. 495-507.

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

Vancouver

Létourneau P, Stentoft L. Refining the least squares Monte Carlo method by imposing structure. Quantitative Finance. 2014;Volume 14(3):495-507. doi: 10.1080/14697688.2013.787543

Author

Létourneau, Pascal ; Stentoft, Lars. / Refining the least squares Monte Carlo method by imposing structure. In: Quantitative Finance. 2014 ; Vol. Volume 14, No. 3. pp. 495-507.

Bibtex

@article{e964e73b5bba4a15a9b86a485afcf1d1,

title = "Refining the least squares Monte Carlo method by imposing structure",

author = "Pascal L{\'e}tourneau and Lars Stentoft",

year = "2014",

doi = "10.1080/14697688.2013.787543",

language = "English",

volume = "Volume 14",

pages = "495--507",

journal = "Quantitative Finance",

issn = "1469-7688",

publisher = "Routledge",

number = "3",

}

RIS

TY - JOUR

T1 - Refining the least squares Monte Carlo method by imposing structure

AU - Létourneau, Pascal

AU - Stentoft, Lars

PY - 2014

Y1 - 2014

U2 - 10.1080/14697688.2013.787543

DO - 10.1080/14697688.2013.787543

M3 - Journal article

VL - Volume 14

SP - 495

EP - 507

JO - Quantitative Finance

JF - Quantitative Finance

SN - 1469-7688

IS - 3

ER -

Department of Economics and Business Economics