TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO (Q3608735): Difference between revisions

@@ 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 / full work available at URL @@
+https://doi.org/10.1111/j.1467-9965.2008.00357.x
+Normal rank
@@ Property / OpenAlex ID @@
+W2339568487
@@ Property / OpenAlex ID: W2339568487 / rank @@
+Normal rank
@@ Property / cites work @@
+Time discretization and Markovian iteration for coupled FBSDEs
+Normal rank
@@ Property / cites work @@
+Valuation of the early-exercise price for options using simulations and nonparametric regression
+Normal rank
@@ Property / cites work @@
+Asymptotic Properties of Monte Carlo Estimators of Derivatives
+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 @@
+The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope
+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 @@
+Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Monte Carlo construction of hedging strategies against multi-asset European claims
+Normal rank
@@ Property / cites work @@
+Monte Carlo valuation of American options
@@ Property / cites work: Monte Carlo valuation of American options / rank @@
+Normal rank
@@ Property / cites work @@
+Robust Libor Modelling and Pricing of Derivative Products
+Normal rank
@@ Property / cites work @@
+A numerical scheme for BSDEs
@@ Property / cites work: A numerical scheme for BSDEs / rank @@
+Normal rank