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Keywords: Early Exercise
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Journal Articles
An Optimal Selection of the basis Functions for the Valuation of Interest Rate Structured Notes
Open Access
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2014) 22 (4): 637–674.
Published: 30 November 2014
... squared Monte Carlo simulation proposed by Longstaff and Schwartz (2001) to reduce the estimation errors of the continuation value or the underlying assets. To use Monte carlo Simulation for pricing the early exercise premium, it is essential to accurately estimate the continuation value, because...
