Pages that link to "Item:Q2463707"

The following pages link to Additive and multiplicative duals for American option pricing (Q2463707):

Displaying 19 items.

• Solving optimal stopping problems via empirical dual optimization (Q373842) (← links)
• A unified approach to multiple stopping and duality (Q453044) (← links)
• Numerical methods for Lévy processes (Q964687) (← links)
• An algorithmic approach to optimal asset liquidation problems (Q1627810) (← links)
• A pure martingale dual for multiple stopping (Q1761446) (← links)
• A new class of dual upper bounds for early exercisable derivatives encompassing both the additive and multiplicative bounds (Q1785438) (← links)
• Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies (Q1994388) (← links)
• Recursive lower and dual upper bounds for Bermudan-style options (Q2273928) (← links)
• Simple improvement method for upper bound of American option (Q3108374) (← links)
• The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope (Q3429332) (← links)
• Regression-Based Complexity Reduction of the Nested Monte Carlo Methods (Q4579837) (← links)
• SMOOTH UPPER BOUNDS FOR THE PRICE FUNCTION OF AMERICAN STYLE OPTIONS (Q4608116) (← links)
• Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes (Q4619493) (← links)
• Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal (Q5001149) (← links)
• Solving high-dimensional optimal stopping problems using deep learning (Q5014845) (← links)
• AMERICAN OPTION PRICING WITH REGRESSION: CONVERGENCE ANALYSIS (Q5210915) (← links)
• A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options (Q5310693) (← links)
• Deep optimal stopping (Q5381128) (← links)
• Iterative Improvement of Lower and Upper Bounds for Backward SDEs (Q5738163) (← links)