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MSRI-UP 2011: Mathematical Finance, presentation 6 - Pricing of American Options using the Longstaff-Schwartz Algorithm

Presenters
July 22, 2011
SLMath
Keywords:
  • mathematical finance
  • pricing
  • market predictions
  • statistical conditioning
  • options and derivatives
  • market types
  • algorithms and trading
MSC:
  • 91B30
  • 91B28
  • 91B26
  • 91B24
  • 91B54
  • 91B84
  • 91Bxx
  • 91-xx
MSRI-UP 2011: Mathematical Finance, presentation 6 - Pricing of American Options using the Longstaff-Schwartz Algorithm Thumbnail
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Abstract
The MSRI-UP summer program is designed for undergraduate students who have completed two years of university-level mathematics courses and would like to conduct research in the mathematical sciences.
Abstract