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Applied Economics Letters Volume 10, 2003 - Issue 4
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Original Articles

Computational complexity analysis of least-squares Monte Carlo (LSM) for pricing US derivatives

A.-S. Chen National Chung Cheng University, Department of Finance, Chia-Yi, Taiwan, R.O.C. 621, E-mail: [email protected] and E-mail: [email protected]
&
P.-F. Shen National Chung Cheng University, Department of Finance, Chia-Yi, Taiwan, R.O.C. 621, E-mail: [email protected] and E-mail: [email protected]
Pages 223-229 | Published online: 06 Oct 2010

References

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