Enhanced policy iteration for American options via scenario selection (Q3498561): Difference between revisions

@@ Property / author @@
-Anastasia Kolodko
@@ Property / author: Anastasia Kolodko / rank @@
-Normal rank
@@ Property / author @@
-John G. M. Schoenmakers
@@ Property / author: John G. M. Schoenmakers / rank @@
-Normal rank
@@ Property / author @@
+Anastasia Kolodko
@@ Property / author: Anastasia Kolodko / rank @@
+Normal rank
@@ Property / author @@
+John G. M. Schoenmakers
@@ Property / author: John G. M. Schoenmakers / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W1994634377
@@ Property / OpenAlex ID: W1994634377 / rank @@
+Normal rank
@@ Property / cites work @@
+An iterative method for multiple stopping: convergence and stability
+Normal rank
@@ Property / cites work @@
+On the Malliavin approach to Monte Carlo approximation of conditional expectations
+Normal rank
@@ Property / cites work @@
+Pricing American Options: A Duality Approach
@@ Property / cites work: Pricing American Options: A Duality Approach / rank @@
+Normal rank
@@ Property / cites work @@
+Upper Bounds for Bermudan Style Derivatives
@@ Property / cites work: Upper Bounds for Bermudan Style Derivatives / rank @@
+Normal rank
@@ Property / cites work @@
+Iterative construction of the optimal Bermudan stopping time
+Normal rank
@@ Property / cites work @@
+Valuing American Options by Simulation: A Simple Least-Squares Approach
+Normal rank
@@ Property / cites work @@
+Monte Carlo valuation of American options
@@ Property / cites work: Monte Carlo valuation of American options / rank @@
+Normal rank