A study of quasi-Monte Carlo methods and variance reduction techniques for improving the least-squares Monte Carlo algorithm for American option pricing

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ucalgary_2007_la-trinh_jennie h.t_565127.pdf(8.55 MB)
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2007
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Bibliography: p. 89-96
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La-Trinh, J. H. (2007). A study of quasi-Monte Carlo methods and variance reduction techniques for improving the least-squares Monte Carlo algorithm for American option pricing (Master's thesis, University of Calgary, Calgary, Canada). Retrieved from https://prism.ucalgary.ca. doi:10.11575/PRISM/1406
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http://hdl.handle.net/1880/102407
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