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Solving American option and portfolio choice problems using the Least Squares Monte Carlo (LSM) Algorithm

Conference on Randomized Algorithms in Finance March 30, 2001 - April 01, 2001

March 30, 2001 (01:30 PM PST - 03:30 PM PST)
Speaker(s): Francis Longstaff
Location: SLMath: Eisenbud Auditorium
Primary Mathematics Subject Classification No Primary AMS MSC
Secondary Mathematics Subject Classification No Secondary AMS MSC
Video

30-403-Solving American option and portfolio choice problems using the Least Squares Monte Carlo (LSM) Algorithm-Francis Longstaff
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30-403-Solving American option and portfolio choice problems using the Least Squares Monte Carlo (LSM) Algorithm-Francis Longstaff

H.264 Video 30-403-Solving_American_option_and_portfolio_choice_problems_using_the_Least_Squares_Monte_Carlo_(LSM)_Algorithm-Francis_Longstaff.mp4 82.8 MB video/mp4 Download
30-403-Solving_American_option_and_portfolio_choice_problems_using_the_Least_Squares_Monte_Carlo_(LSM)_Algorithm-Francis_Longstaff.rm 29.1 MB application/vnd.rn-realmedia Download
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