Pages that link to "Item:Q1391436"
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The following pages link to Pricing American-style securities using simulation (Q1391436):
Displaying 50 items.
- Multi-asset American options and parallel quantization (Q370907) (← links)
- Solving optimal stopping problems via empirical dual optimization (Q373842) (← links)
- Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates (Q484205) (← links)
- Semi-parametric estimation of American option prices (Q528168) (← links)
- On the convergence from discrete to continuous time in an optimal stopping problem. (Q558676) (← links)
- Monte Carlo algorithms for optimal stopping and statistical learning (Q558680) (← links)
- Sensitivities for Bermudan options by regression methods (Q604677) (← links)
- On the rates of convergence of simulation-based optimization algorithms for optimal stopping problems (Q627243) (← links)
- Forest of stochastic meshes: a new method for valuing high-dimensional swing options (Q631202) (← links)
- Fast delta computations in the swap-rate market model (Q633332) (← links)
- Fair valuation of participating policies with surrender options and regime switching (Q817287) (← links)
- Pricing multi-asset American-style options by memory reduction Monte Carlo methods (Q849756) (← links)
- Monte Carlo estimation of a joint density using Malliavin calculus, and application to American options (Q853652) (← links)
- An object-oriented framework for valuing shout options on high-performance computer architectures (Q951351) (← links)
- Convergence and biases of Monte Carlo estimates of American option prices using a parametric exercise rule (Q951396) (← links)
- An irregular grid approach for pricing high-dimensional American options (Q952083) (← links)
- Numerical methods for Lévy processes (Q964687) (← links)
- On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options (Q972768) (← links)
- Sequential Monte Carlo pricing of American-style options under stochastic volatility models (Q977632) (← links)
- On improving the least squares Monte Carlo option valuation method (Q1025618) (← links)
- Pricing of path-dependent American options by Monte Carlo simulation (Q1027429) (← links)
- Valuation of R\&D sequential exchange options using Monte Carlo approach (Q1038763) (← links)
- Monte Carlo bounding techniques for determinig solution quality in stochastic programs (Q1306368) (← links)
- Monte Carlo methods for security pricing (Q1391435) (← links)
- Using forward Monte-Carlo simulation for the valuation of American barrier options (Q1639295) (← links)
- Dynamic portfolio choices by simulation-and-regression: revisiting the issue of value function vs. portfolio weight recursions (Q1652164) (← links)
- A unified approach to Bermudan and barrier options under stochastic volatility models with jumps (Q1655511) (← links)
- A two-step simulation procedure to analyze the exercise features of American options (Q1762863) (← links)
- On the use of boundary conditions for variational formulations arising in financial mathematics. (Q1855082) (← links)
- A master equation approach to option pricing (Q1855544) (← links)
- An improved simulation method for pricing high-dimensional American derivatives. (Q1873029) (← links)
- The random-time binomial model (Q1960552) (← links)
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies (Q1974042) (← links)
- Optimal oil production and the world supply of oil (Q1994257) (← links)
- Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation (Q1994265) (← links)
- Option pricing under a discrete-time Markov switching stochastic volatility with co-jump model (Q2170294) (← links)
- Options as silver bullets: valuation of term loans, inventory management, emissions trading and insurance risk mitigation using option theory (Q2171344) (← links)
- Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations (Q2178364) (← links)
- Multi-asset scenario building for trend-following trading strategies (Q2241067) (← links)
- CTMC integral equation method for American options under stochastic local volatility models (Q2246620) (← links)
- The forward-path method for pricing multi-asset American-style options under general diffusion processes (Q2252387) (← links)
- Pricing and exercising American options: an asymptotic expansion approach (Q2338522) (← links)
- Optimal stopping problems with restricted stopping times (Q2358495) (← links)
- The valuation of multidimensional American real options using the LSM simulation method (Q2384589) (← links)
- Pricing and risk of swing contracts in natural gas markets (Q2418428) (← links)
- Additive and multiplicative duals for American option pricing (Q2463707) (← links)
- A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options (Q2467599) (← links)
- A sample-path approach to optimal position liquidation (Q2480246) (← links)
- Representations and regularities for solutions to BSDEs with reflections (Q2485839) (← links)
- Double-exponential fast Gauss transform algorithms for pricing discrete lookback options (Q2503998) (← links)
