An irregular grid approach for pricing high-dimensional American options (Q952083): Difference between revisions

@@ Property / author @@
+Johannes M. Schumacher
@@ Property / author: Johannes M. Schumacher / rank @@
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+MaRDI publication profile
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+https://doi.org/10.1016/j.cam.2007.10.045
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+W2100654802
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@@ Property / cites work @@
+Monte Carlo methods for security pricing
@@ Property / cites work: Monte Carlo methods for security pricing / rank @@
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@@ Property / cites work @@
+Pricing American-style securities using simulation
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@@ Property / cites work @@
+An analysis of a least squares regression method for American option pricing
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+Number of paths versus number of basis functions in American option pricing
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+Assessing the least squares Monte-Carlo approach to American option valuation
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+On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives
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+An improved simulation method for pricing high-dimensional American derivatives.
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+Monte Carlo valuation of American options
@@ Property / cites work: Monte Carlo valuation of American options / rank @@
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+Pricing American Options: A Duality Approach
@@ Property / cites work: Pricing American Options: A Duality Approach / rank @@
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+Upper Bounds for Bermudan Style Derivatives
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+Variational inequalities and the pricing of American options
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+The Solution of a Quadratic Programming Problem Using Systematic Overrelaxation
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