Browsing BI Open by Author "Hollund, Joachim"
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Pricing American-Style Options by Monte Carlo Simulation
Hollund, Joachim; Joleik, Bjarte (Master thesis, 2018)We replicate (in some parts) and extend Tompaidis and Yang’s (2014) analysis by comparing the performance of Ordinary Least-Squares (OLS) Regression to Tikhonov Regularization and Classification & Regression Trees (CART), ...